Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …

I test for the presence of asymmetric volatility in Japanese Yen cross-rate futures markets. My investigation is based … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from … 2004 through 2009. I find that appreciation against the Japanese Yen (JPY) leads to significantly greater volatility for …

-variate GARCH-in-mean model and volatility spillovers. The empirical results show the significant effects (positive and negative …, respectively) of the stock market returns, interest rate, and exchange rate volatility of the financial sector during the crisis …. Besides, we find, in most cases, significant (positive and negative, respectively) volatility spillovers from market return …