does not require the specification and estimation of the economic agent’s information flows or the identification and … estimation of the structural parameters and the noninvertible roots. Moreover, the proposed test statistic uses all lags in the …

instrumental-variables based tests which involve enforcement or partial enforcement of the null hypothesis in variance estimation …

the unemployment problem, the volatility of the growth rate of unemployment has to be known in order to launch appropriate … policies correctly. Therefore, a wide range of conditional volatility models, which are usually used in financial markets, are … employed to estimate the volatility with symmetric and asymmetric effects. The monthly data on unemployment is downloaded to …

This paper addresses the central open issue in exchange rate economics: the link between exchange rate volatility and … economic fundamentals. In the framework of a multivariate volatility model that allows for volatility spillover, we develop a … foreign exchange volatility. We show that news announcement effects include two components; a direct and an indirect effect …

limit of an asymmetric GARCH model risk-neutralized via Wang's transform. The connection with stochastic volatility limits …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

Hull-White stochastic volatility models. Regardless of the innovations used, the GARCH implied diffusion limit based on the … non-zero market price of volatility risk which is proportional to the market price of the equity risk, where the constant …

outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is … for forecasting the volatility of both the TASI and the TIPISI in the context of petrochemical industries, as this model …

Through the application of three pair-wise bivariate BEKK models, this paper examines the conditional volatility … and Litecoin. While cryptocurrency price volatility is found to be dependent on its own past shocks and past volatility …-directional shock spillovers from Litecoin to Ether. Finally, we identify bi-directional volatility spillover effects between all the …