Ökonometrische Studien weisen zunehmend auf Instabilitäten in der Geldnachfrage hin. Ein solcher Befund stellt die … einer Standardspezifikation der Geldnachfrage durchaus gerechtfertigt werden kann. Wesentlich für dieses Ergebnis ist die …

observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …

Geldnachfrage hin. Dieser Befund würde die monetäre Strategie der EZB, zumindest was die erste Säule betrifft, die wesentlich auf … Berücksichtigung der Infl ationsrate bei der Bewertung der Geldnachfrage. Es ist nicht zu erwarten, dass die aktuelle Geldversorgung zu …

making up the Dow Jones Industrial Index, I calculate intraday upside and downside volatility measures, following Becker et … document that for all the stocks in the sample, mean daily returns following the days when a stock's upside volatility measure … was higher or equal to its downside volatility measure are higher than following the days when the opposite relationship …

In this paper we examine the issue of asymmetry in the return and volatility spillover effects from the US equity … market into the Canadian and Mexican equity markets. We model the conditional volatility of the returns in each of the three … considerably from those for Mexico. In particular, the empirical results indicate that volatility spillover effects, but not return …

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish … display a negative, tight contemporaneous relationship with IBEX daily returns, contrary to other common volatility indicators …, as an implied volatility indicator or a GARCH(1,1) conditional volatility model. This relationship is approximately …