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specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are …
Persistent link: https://www.econbiz.de/10010310227
The volatility accuracy of several volatility forecast models is examined for the case of daily spot returns for the Mexican peso - US Dollar exchange rate. The models applied are univariate GARCH, a multi-variate GARCH (the BEKK model), option implied volatilities, and a composite forecast...
Persistent link: https://www.econbiz.de/10004967922
The fundamental aim of the paper is to analyze the presence and magnitude of the volatility transmissions in emerging markets, namely India, Hungary, Poland, Turkey and Brazil prior to, and during the latest financial turmoil. Using weekly returns of stock market indices from 2005 to 2011, the...
Persistent link: https://www.econbiz.de/10011107841
This paper attempts to analyse the extent of financial integration of two developed (the U.S. and Japan) and two emerging Islamic stock markets (China and India) with the Malaysian Islamic stock market in order for the Malaysian financial traders to make decision about their portfolio...
Persistent link: https://www.econbiz.de/10011111967
Persistent link: https://www.econbiz.de/10011091651
We introduce two multivariate constant conditional correlation tests that require little knowledge of the functional relationship determining the conditional correlations. The first test is based on artificial neural networks and the second one is based on a Taylor expansion of each unknown...
Persistent link: https://www.econbiz.de/10011207427
Exponential models of Autoregressive Conditional Heteroscedasticity (ARCH) enable richer dynamics (e.g. contrarian or cyclical), provide greater robustness to jumps and outliers, and guarantee the positivity of volatility. The latter is not guaranteed in ordinary ARCH models, in particular when...
Persistent link: https://www.econbiz.de/10011185384
This paper investigates the short-run and long-run impact of the determinants of nominal exchange rate volatility in three Latin American countries during the period 1979-2009. We estimate a multivariate GARCH model and include the covariances of those determinants, which have been ignored in...
Persistent link: https://www.econbiz.de/10010729127
To analyze the intertemporal interaction between the stock and bond market returns, we allow the conditional covariance matrix to vary over time according to a multivariate GARCH model similar to Bollerslev, Engle and Wooldridge (1988). We extend the model such that it allows for asymmetric...
Persistent link: https://www.econbiz.de/10010730877
In this paper we study the impact of macroeconomic news announcements on the conditional volatility of stock and bond returns. Using daily returns on the S&P 500 index, the NASDAQ index, and the 1 and 10 year U.S. Treasury bonds, for January 1982 - August 2001, some interesting results emerge....
Persistent link: https://www.econbiz.de/10010731247