have the largest impact on the volatility of long-term interest rates. Long-term interest rates provide significant upward … the volatility of short-term interest rates. Inflation, peso-dollar exchange rate and non-performing loans significantly … drive the medium-term interest rates and shocks due to these are the largest source of volatility for medium-term interest …

reduce the return volatility of TASI. From the EGARCH-M models, it is reflected through the leverage effect that negative … shocks increase the volatility more than positive shocks. The CGARCH-M results show through the volatility persistence rate … liberalization to foreign investment leads to reduce significantly the volatility mostly in the short term, while the foreign …

volatility for a sample of both net oil-exporting and net oil-importing countries between 1995:09 and 2013:07. We accomplish that …. The results for both stock market returns and volatility suggest that spillover effects vary across different time periods …

of exchange returns on changes in exports depends on time varying between low and high volatility in real terms (i …

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or … log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally …

management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of … estimates of the volatility matrix: sample covariance, approximate factor model with known factors, and unknown factors (POET …

This paper proposes spectral and asymmetric-volatility based methods for cluster analysis of stock returns. Using the …

, Japan, China, and Malaysia. The paper analyzes the cross volatility, comovement, and estimates the Granger causality between …. The volatility and comovements between stock indices are higher and unstable during the financial crises. Furthermore, the …

time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …