Recently, the Bundesbank claimed that monetary targeting has become considerably more diffcult by the increased volatility of short-term money growth. The present paper investigates the impact of German money growth volatility on income velocity and money demand in view of Friedman's money...

Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Due to their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement, and update the...

This paper studies in some detail a class of high frequency based volatility (HEAVY) models.  These models are direct models of daily asset return volatility based on realized measures constructed from high frequency data.  Our analysis identifies that the models have momentum and mean...

This paper examines stock returns volatility in the Pakistani equity market. Using daily stock prices of 36 companies, 8 sector indices, and the general market index, the AutoRegressive Conditional Heteroscedasticity (ARCH) class of models was applied. The analyses suggest that one of the...

In this paper we dedicate attention to the inflation dynamics in the metropolitan area of Belo Horizonte – Minas Gerais – through estimating an ARCH model considering its relative significance among those metropolitan areas that compose the national consumer price index (IPCA). Our...

In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with...

We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters of interest are assumed to be common. CL...

We investigate the properties of the composite likelihood (CL) method for (T ×N_T ) GARCH panels. The defining feature of a GARCH panel with time series length T is that, while nuisance parameters are allowed to vary across N_T series, other parameters of interest are assumed to be common. CL...