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Modelling the volatility of gold prices and financial stock indexes: a VAR approach
Antunes, João Marques; Fuinhas, José Alberto; … - Volkswirtschaftliche Fakultät, … - 2014
The interaction of volatility between the financial markets and gold market is analyzed. The volatility of the price of … of the variables itself. Through these models we proved there is a relationship between the volatility of gold prices and …
Persistent link: https://www.econbiz.de/10011108622
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Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach
Audrino, Francesco; Filipova, Kameliya - School of Economics and Political Science, Universität … - 2009
We propose an empirical approach to determine the various economic sources driving the US yield curve. We allow the conditional dynamics of the yield at different maturities to change in reaction to past information coming from several relevant predictor variables. We consider both endogenous,...
Persistent link: https://www.econbiz.de/10004991599
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The impact of the financial crisis on the interbank money markets behavior. Evidence from several CEE transition economies
Mutu, Simona; Breşfelean, Vasile Paul; Göndör, Mihaela - Volkswirtschaftliche Fakultät, … - 2011
volatility of the interbank interest rates, especially after September 2008. Banking institutions from the Euro zone have avoided … random walk? In our research we deal with unit root tests taking into consideration structural breaks and the persistence of … the volatility. We also examine the long run equilibrium between the term structures of interest rates appealing at the …
Persistent link: https://www.econbiz.de/10011258912
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models : evidence from India
Lithin BM; Chakraborty, Suman; Iyer, Vishwanathan; Nikhil MN - In: Cogent economics & finance 11 (2023) 1, pp. 1-33
dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … 2022, using a family of GARCH models. The empirical results indicate the high volatility persistence across the maturity … existence of weak volatility persistence and rapid mean reversion in the bear market. This shows that the economic response …
Persistent link: https://www.econbiz.de/10014500716
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The impact of the euro on financial markets
Cappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; … - 2006
to examine the risk - return trade-off in the term structure of interest rates before and after the introduction of the …
Persistent link: https://www.econbiz.de/10011604644
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Modelling Asymmetric Sovereign Bond Yield Volatility with Univariate GARCH Models : Evidence from India
B M, Lithin; Chakraborty, Suman; Iyer, Vishwanathan; M … - 2023
dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … 2022, using a family of GARCH models. The empirical results indicate the high volatility persistence across the maturity … existence of weak volatility persistence and rapid mean reversion in the bear market. This shows that the economic response …
Persistent link: https://www.econbiz.de/10014351436
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Modelling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India
Chakraborty, Suman; Iyer, Vishwanathan; Ledwani, Sanket - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-33
dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May … 2022, using a family of GARCH models. The empirical results indicate the high volatility persistence across the maturity … existence of weak volatility persistence and rapid mean reversion in the bear market. This shows that the economic response …
Persistent link: https://www.econbiz.de/10015074653
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Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate
Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
volatility property and the structural break appear to be the common intrigue features of the exchange rates in the two periods … by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be …-FIGARCH model to consider the long memory volatility property and the structural breaks jointly. The main finding is that the …
Persistent link: https://www.econbiz.de/10011765010
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Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
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Global imbalances and the Intertemporal External Budget Constraint: A multicointegration approach
Camarero, Mariam; Carrion-i-Silvestre, Josep Lluís; … - Departament d'Estructura Econòmica, Facultad de Economía - 2013
This paper analyzes the external solvency of a group of 23 OECD countries for the period 1970-2012 The empirical strategy adopted underlines the increasing importance of the ?nancial channel for the external adjustment as proposed in Gourinchas and Rey (2007). We unify the traditional approaches...
Persistent link: https://www.econbiz.de/10010602467