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Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...
Persistent link: https://www.econbiz.de/10010488966
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Understanding UK Inflation : The Role of Openness
Balakrishnan, Ravi; Lopez-Salido, David - 2003
In this paper, inflation dynamics in the United Kingdom are re-examined. Standard specifications of traditional … Phillips curves have tended to overpredict inflation in the recent low inflation, low unemployment era in the United States … Phillips curve framework by introducing external shocks (terms of trade shocks or domestically generated inflation). This does …
Persistent link: https://www.econbiz.de/10014105723
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The Long Memory of Equity Volatility and the Macroeconomy : International Evidence
Dräger, Lena - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...
Persistent link: https://www.econbiz.de/10012853413
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Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate
Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed...
Persistent link: https://www.econbiz.de/10011765010
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The long memory of equity volatility : international evidence
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017
widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation …
Persistent link: https://www.econbiz.de/10011750751
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The long memory of equity volatility and the macroeconomy : international evidence
Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; … - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...
Persistent link: https://www.econbiz.de/10012173277
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility
Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334
Persistent link: https://www.econbiz.de/10011846847
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The dynamic relationship between investor attention and stock market volatility : international evidence
Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25
This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...
Persistent link: https://www.econbiz.de/10012821063
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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - 2009
This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...
Persistent link: https://www.econbiz.de/10014202478