exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

This paper examines volatility, volatility spillovers, optimal portfolio weights and hedging for systems that include … the significant direct and indirect past shock and volatility effects on future volatility between the commodities in all … aluminum, copper and gold and less of oil in those portfolios. Hedging ratios indicate that the most effective way of hedging …

shock and volatility effects on future volatility between the commodities, as compared with their effects in the all …, oil and exchange rate, displays more direct and indirect transmission than does Model 3, which replaces the business cycle … and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their …

Heteroskedasticity (MGARCH) model with BEKK, diagonal, Constant Conditional Correlation (CCC), and finally, Dynamic Conditional …

This study examines the conditional volatility and correlation dependency and interdependency for the four major …. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

This study examines the conditional volatility and correlation dependency and interdependency for the four major …. The implications of the estimated results for portfolio designs and hedging strategies are also analyzed. The results for … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

In this paper we assess the impact of external economic liberalization in India on the transmission of aggregate shocks …'s liberalization policy: 1) under intermittency (or fits and starts') the transmission of aggregate shocks in the post-reform period is … compared with two pre-reform periods; and 2) under gradualism the transmission of aggregate shocks over three consecutive …

the transmission of EME shocks to individual countries’ equity markets, stressing the different degrees of financial … political shocks for 14 EMEs, we find that EME shocks not only have a statistically but also economically significant impact on … global equity markets. The economic significance of EME shocks is in particular underlined by their remarkably persistent …