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Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century

Burdisso, Tamara; Corso, Eduardo Ariel - In: Ensayos Económicos 1 (2011) 63, pp. 41-95

The aim of this document is to quantify the effects of uncertainty over financial assets dollarization of the Argentine … was a turning point in dollarization of the portfolio of the non financial private sector; (ii) during the Convertibility … in incentives to dollarize around 50% of the portfolio; (iii) during 2003-2009, the degree of dollarization should have …

Persistent link: https://www.econbiz.de/10010849661

GDP growth and the interdependency of volatility spillovers

Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10010244294

Dynamic volatility spillovers across the Extended Greater China Region stock markets

Diaz, John Francis - In: Global economy journal : GEJ 21 (2021) 1, pp. 2150003-1-2150003-22

Persistent link: https://www.econbiz.de/10012805962

Hedging the Brazilian stock index in the era of low interest rates : what has changed?

Aiube, Fernando Antônio Lucena; Faquieri, Winicius Botelho - In: Revista Brasileira de Finanças : RBFin 18 (2020) 3, pp. 5-26

Persistent link: https://www.econbiz.de/10012306229

Variance persistence in the greater China region : a multivariate GARCH approach

Diaz, John Francis; Qian, Peh Ying; Tan, Genevieve Liao - In: The Lahore journal of economics 23 (2018) 2, pp. 49-68

Persistent link: https://www.econbiz.de/10011980529

Modelling the mean and volatility dynamic relationship between the environmental risk or exchange rate volatility surprise and Commodity Research Bureau future price index

Wei, Ching Chun - In: International journal of sustainable economy 9 (2017) 4, pp. 281-299

Persistent link: https://www.econbiz.de/10011862241

Linkages between spot and futures prices: Tests of the Fama-French-Samuelson hypotheses

Cuddington, John T.; Va'squez Cordano, Arturo L. - Division of Economics and Business, Colorado School of Mines - 2013

This paper develops GARCH and VEC-MGARCH-based tests of four hypotheses from Fama and French (1988) involving linkages between spot and futures prices --- both their levels and variances. The tests are applied to monthly data for seven metals traded on the London Metal Exchange over the period...

Persistent link: https://www.econbiz.de/10010907155

GDP Growth and the Interdependency of Volatility Spillovers

Karunanayake, Indika; Valadkhani, Abbas; O’Brien, Martin - Volkswirtschaftliche Fakultät, … - 2012

This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH)...

Persistent link: https://www.econbiz.de/10011260048

FORECASTING THE CONDITIONAL COVARIANCE MATRIX OF A PORTFOLIO UNDER LONG-RUN TEMPORAL DEPENDENCE

Serrano, Antonio Rubia; Ñíguez, Trino-Manuel - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2003

Long-range persistence in volatility is widely modelled and forecasted in terms of the so-called fractional integrated models. These models are mostly applied in the univariate framework, since the extension to the multivariate context of assets portfolios, while relevant, is not...

Persistent link: https://www.econbiz.de/10005731402

Estimation of C-MGARCH models based on the MBP method

Li, Lihui; Wen, Tao - In: Statistics & Probability Letters 83 (2013) 2, pp. 665-673

This paper applied the maximization by parts (MBP) and the modified MBP (MMBP) methods to estimate the C-MGARCH model and compare the effectiveness of two methods. Monte Carlo simulation studies show that both MBP and MMBP methods are more efficient than that of the IFM method.

Persistent link: https://www.econbiz.de/10010602909

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