Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

implementación de un conjunto de modelos EGARCH. En conclusión, encontramos que dos de los índices de incertidumbre temáticos (uno …

. Lower turnover implies higher volatility. In addition, a minimum tick size for bond price negotiation will produce higher … volatility for bonds approaching their maturity dates. To show these effects, we use data for Spanish sovereign bonds from 1988 …-squared errors to take into account the liquidity induced heteroskedasticity …

market, a 2-state regime-switching model with Markov transition chain is carried out. GARCH effects are also built into the … model to account for the conditional heteroskedasticity. Short-term forecasts based on the regime-switching model are also … fundamental models. Volatility which cannot be explained by fundamentals plays an essential role in natural gas price behavior …

, inflation volatility and volatility persistence. To describe inflation dynamics and evaluate its impact, we use an unobserved … components model, where each component can follow a GARCH type process. In general, the main findings of the empirical exercise … show that the adoption of IT has been useful to reduce the inflation level and volatility in these countries …

impact on the exchange rate level and volatility. We analyze the effects of daily forex interventions in four Latin American … countries with infl ation targets —namely, Chile, Colombia, Mexico and Peru—by fitting GARCH-type models. These countries …, reduce exchange rate volatility, although their size plays a minor role. Our results support the signaling effect of …

recently proposed Dynamic Conditional Correlations (DCC) class of GARCH models, I estimate the covariance of the fundamental …

two conditional moments of univariate traffic flow series can be modeled as a SARIMA+GARCH structure, based on which an … smoothing; the local variation is processed using Kalman filter by constructing a state space model. Afterwards, GARCH model is … processed using Kalman filter based on the recognition that GARCH has an equivalent representation as ARMA in the sense of …