the conditional volatility models of the GARCH class. We find that the differences between the opening price of one day … effects of modifying the direct impact of daily innovations on volatility and reducing the estimated overall persistence of …

volatility and intratrade durations. Undergeneral conditions, we propose several Generalized Method of Moments (GMM) estimation … durations, and vice versa. Otherwise, the spacings between trades are consideredexogenous to the volatility dynamics. This … assumption is required in a two-step estimation procedure. Thebivariate setup enables us to test for Granger causality between …

Abstract This paper uses a dynamic framework of a small open economy to study the volatility effects of partially … stabilizing, i. e. lead to a lower volatility than a fully anticipated monetary policy shock of the same form. (ii) However, we …

This paper examines the stability, predictability, volatility, time varying risk premiums and persistence of shocks to … volatility in the ten Middle Eastern and African (ME&A) emerging stock markets. Although the majority of ME&A markets only … finds ME&A markets to be unpredictable. The findings on volatility in the emerging market indicate that eight out of the ten …

? Using three-dimensional panel data on 28 industrial sectors between 1999–2000 and 2007–2008 across 13 states of India, our … results show that the incidence of informal employment is directly linked with EPL, volatility, and labor bargaining power. We …

estimation methodology, we investigate the degree and direction of dissemination in the volatility of economic growth. Our …’s economic growth volatility to affect other countries. Thus, an economic recession for example in one country, does not affect … all countries equally across regime type. Second, growth volatility is not simply a North-South phenomenon, but a South …

The rapid increase in population of India forced people to migrate from rural areas and small towns to metropolitan … cities for better employment, education, and, good lifestyle. Major cities of India were industrialized and required more … city Jaipur, India. The changed entropy value during the years 1972–2013 proves more dispersed growth in the city. The …