The paper analyses the forecasting performance of a variety of statistical and econometric models of UK FTA All Share and FTSE100 stock index volatility at the monthly, weekly and daily frequencies under both symmetric and asymmetric loss functions. Under symmetric loss, results suggest that the...

It is widely acknowledged in the financial literature that trading in asset markets is mainly induced by the arrival of new information. However, the contemporaneous and dynamic empirical relationship beween volume and returns in futures data, with attendant implications for futures market...

It is widely acknowledged in the financial literature that trading in asset markets is mainly induced by the arrival of new information. However, the contemporaneous and dynamic empirical relationships between volume and returns in futures data, with attendant implications for futures market...

This study reappraises the evidence for nonlinear dependence in the monthly black market exchange returns of the Polish zloty, 1955-1990. Predictive asymmetry is reported in conditional variance such that depreciatory shocks have a greater impact on subsequent volatility than appreciatory...

This letter reappraises some recently reported tests for asymmetries in UK consumers' expenditure relative to trend. In particular, we consider the disaggregation of consumers' expenditure into broad categories of durable and non-durable goods and services, and according to 13 specific...

This letter reports details of tests for the presence of conditional variance asymmetries in the growth rates of monthly international industrial production series using exponential-GARCH and threshold-GARCH generalizations. We find evidence of asymmetries of EGARCH form for US industrial...

This paper examines the time series properties of the monthly black-market dollar exchange rates of the Bulgarian lev, Czech koruna, East German mark, Hungarian forint, Polish zloty, Rumanian lei and Soviet ruble over the period 1955-1990. All series other than the mark exhibit a unit root in...