-GARCH models to capture time varying volatility and nonlinearity in petrol prices. ANN augmented versions of LSTAR-LST-GARCH models … models, except for the MLP-FIGARCH and MLP-FIAPGARCH models. iv. Volatility clustering, asymmetry and nonlinearity …

Malaysian IFSIs are investigated to gain insights into their performance in terms of volatility and correlations with the market … this volatility into their contributions from the point of view of different time scales. The findings are that IFSIs are … much more volatile than their competitors with seemingly independent spikes in volatility unique to themselves but are low …

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …

-food inflation in Pakistan. Food inflation volatility in Pakistan was found to be half of that observed in the world. Compared to …

price volatility on commodity markets through improved control of speculation on futures and OTC markets. The article is … analysing the hypothesis that commodity funds are causing price volatility using first a direct relationship between the “Assets …