This paper explores the influence of the foreign exchange rates variation on the returns and volatility of the stock prices from the Romanian capital market for the period of time January 2000 - December 2012. This period was split in four sub-samples corresponding to different stages of the...

This study investigates the existence of day of the week effects on stock returns in the Colombian Stock Exchange (CSE) for the period between June 2001 and March 2005. The Bogotá Stock Exchange was established in 1928. However, the two other main bourses in the country merged with this in 2001...

The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...

This study investigates the impact of real exchange rate uncertainty on import demand of Thailand. The period of study is during July 1997 to December 2011. The results from bounds testing for cointegration show that all variables are cointegrated. Even though there is no short-run impact, but...

In this study the price, return and volatility behaviour of base metals (aluminium, copper, nickel, lead and zinc) which are traded on Indian commodity exchange - Multi Commodity Exchange (MCX) and International commodity exchange – London Metal Exchange (LME) are analysed. The time period...

A healthy stock market is a sign of sound and healthy economy. Stock market is a volatile market affected, at times directly and most often indirectly, by many micro and macroeconomic players. Of these players interest rates and exchange rates are among the ones undertaken in this study. The...

Several studies have highlighted the fact that heavy-tailedness of asset returns can be the consequence of conditional heteroskedasticity. GARCH models have thus become very popular, given their ability to account for volatility clustering and, implicitly, heavy tails. However, these models...

This paper explores Month-of-the-year effects in returns and in volatilities of the Bucharest Stock Exchange. Our investigation covers two periods: the first one, from January 2000 to January 2006, corresponds to the last stage of Romania’s transition to a capitalist system, while the second...

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

The current study focuses on the linkages in agri-processed (soy oil and crude palm oil) and energy commodities (natural gas and crude oil) traded on commodity exchanges of India (NCDEX; MCX) and their corresponding international commodity exchanges(Chicago Board of Trade; Bursa Malaysia Derivative...