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Stochastic volatility in interest rates and nonlinearity in velocity

Barnett, William A. - 1996

Persistent link: https://www.econbiz.de/10001328762

Nonlinear Short-Term Interest Rate Dynamics

Kyrtsou, Catherine; Vorlow, Costas E. - 2007

Recent empirical researches have examined the relationship between US short-term interest rates using linear as well nonlinear econometric tools. The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackey-Glass and the BEKK GARCH processes...

Persistent link: https://www.econbiz.de/10014049418

Money and foreign exchange markets dynamics in Nigeria : a multivariate GARCH approach

Atoi, Ngozi V.; Nwambeke, Chinedu G. - In: CBN journal of applied statistics 12 (2021) 1, pp. 109-138

and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate … is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals that …, 1) model. Furthermore, the effects of news (shocks spillover) are bi-directional across the markets. However, volatility …

Persistent link: https://www.econbiz.de/10012604406

A GARCH approach to model short-term interest rates : evidence from Spanish economy

Sánchez García, Javier; Cruz Rambaud, Salvador - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1621-1632

Persistent link: https://www.econbiz.de/10013184367

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

conditional volatility association of gold, crude oil and yield (or IR) on the ER (the price of US$ in Indian rupee). The daily … theories of market connectivity. The results are as expected (from the previous literature) for conditional volatility, whereas … findings regarding volatility spillover effects (VSE) and are surprising. The findings of the study imply the separation of …

Persistent link: https://www.econbiz.de/10014543455