Vector‐valued‐60 extensions of univariate generalized binary auto‐regressive (gbAR) processes are proposed that enable the joint modeling of serial and cross‐sectional‐50 dependence of multi‐variate binary data. The resulting class of generalized binary vector auto‐regressive...

This note, employing a GARCH model, finds a positive and significant relationship between the level and variability of monthly inflation in India in the period 1957-2005, with causation running from inflation to uncertainty about future inflation, as hypothesized by Friedman. To the extent that...

This study considers regression-type models with heteroscedastic Gaussian errors. The conditional variance is assumed to depend on the explanatory variables via a parametric or non-parametric variance function. The variance function has usually been selected on the basis of the log-likelihoods...

This paper empirically investigates whether there is an evolution in the relation between stock market trading volume and volatility in 23 developed and 15 emerging markets. To answer this question, we develop a dynamic application of the TARCH (1, 1) model and first prove that the relationship...

Decreasing inflation uncertainty, as the major source of welfare costs, requires finding the driving factors of this variable. Counting inflation as one of the driving factors of inflation uncertainty has created some concern due to the ambiguity over the causality between inflation and...

El trabajo analiza el comportamiento del Ibex35, durante el período que abarca desde enero de 1999 a diciem¬bre de 2011, con el objetivo de comprobar si sigue un proceso diferente al paseo aleatorio, de tal forma que su rendimiento no se caracteriza por ser ruido blanco y resulta, en contra de...

This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...

This paper attempts to determine the relationship between conditional stock market volatility and macroeconomic volatility using monthly data for Turkey from 1986 to 2003. The macroeconomic variables used include industrial production, the money supply M1, inflation, an exchange rate variable,...

Decreasing inflation uncertainty, as the major source of welfare costs, requires finding the driving factors of this variable. Counting inflation as one of the driving factors of inflation uncertainty has created some concern due to the ambiguity over the causality between inflation and...