We study the estimation, the dynamics, and the predictability of option-implied risk-neutral moments (variance, skewness, and kurtosis) for individual stocks from various perspectives. We first show that it is in the estimation of the higher moments essential to use an interpolation with a...

This investigation focuses on the volatility of stock returns in the Belgian Stock Exchange from the period of April 1991 to April 2008. Empirical results have shown that there is a mean and volatility spillover effect from the big European markets. There are also mean spillover effects from the...

In the present paper the negative impact of interest rates on stock returns will be estimated for the European economies. Data are monthly during the year 2008 and cover the following countries: Belgium, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal and Spain. The elaboration of...

The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business...

This paper investigated the impact of exchange rate volatility on the automotive industry exports of Korea using a traditional long-run export demand model. In measuring the exchange rate volatility this study employed the General Autoregressive Conditional Heteroscedasticity [GARCH(1,1)] model...

Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period 1970Q1-2016Q1, we construct three measures of...

The aim of this paper is to study the potentially simultaneous relationship between income inequality and growth volatility for seventy countries between 1960 and 2002. Two types of analysis are performed; a cross-sectional analysis based on country averages of all available annual observations,...

This paper focuses on modeling the evolution of volatility deterministically through (G)ARCH models and compares the performance of the different models, using the daily bilateral prices of one USD to 1 Euro from January 04, 1999 until June 23, 2017. It also compares the performance of these...

This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...

We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...