volatility of the real exchange rate. In addition, the sensitivity analysis shows that our model can rationalize more than 97% of … both persistence and volatility of the real exchange rate. Our analysis suggests that the purchasing price parity puzzle …

taxes is to contain price rise and volatility, to generate revenue, and to increase transparency, these arguments are …, volatility and transaction cost using a three-equation structural model for five top selected commodities namely Gold, Copper … cost and liquidity, and a positive relationship between transaction cost and volatility. Therefore, if the government …

We overview main approaches to modeling stock prices and exchange rates volatility in connection with empirical … properties of the corresponding time series. Special attention is due to properties of volatility at multiple time hori-zons and …

discussed Autocorrelation of returns is researched and volatility of stock index by the example of MICEX is modeled Several …-coefficients on stock’s volatility is analyzed …

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the … New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm …

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different … effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in … most of the cases compared to the volatility during the planting period. These results have implications for hedging …

. However, our analysis also shows that the volatility of capital inflows such as remittances and FDI is harmful to economic …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

changes in the short-run properly. Models which ignore the volatility of these changes would cause erroneous conclusions with … and GARCH specifications. Similarly in this study, current volatility in the TL/Dollar monthly exchange rates from March … tried to model. It was found evidence that GARCH(1,1) offers the most convenient model to adjust exchange rate volatility in …