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León, Ángel; Ferrando, Josep Enric Peris; Subiza, Begoña - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2000

The article proposes a new algorithm for adjusting correlation matrices and for comparison with Finger's algorithm, which is used to compute Value-at-Risk in RiskMetrics for stress test scenarios. The solution proposed by the new methodology is always better than Finger's approach in the sense...

Persistent link: https://www.econbiz.de/10005731376

Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach

Gallo, Giampiero; Otranto, Edoardo - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate …

Persistent link: https://www.econbiz.de/10005731535

Were There Regime Switches in U.S. Monetary Policy?

Sims, Christopher A.; Zha, Tao - Griswold Center for Economic Policy Studies, Department … - 2005

A multivariate model, identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances, is confronted with US data since 1959. The best fit is with a version that allows time variation in structural disturbance variances only. Among versions that allow...

Persistent link: https://www.econbiz.de/10005738439

Demand Storage, Market Liquidity, and Price Volatility

Daniels, Marcus G.; Farmer, J. Doyne; Iori, Giulia; … - Santa Fe Institute - 2002

The limit order book is a device for storing demand and effecting trades that is the primary mechanism for price formation in most modern financial markets. We study the limit order book under a random process model of order flow, using simulations and an analytic treatment based on a master...

Persistent link: https://www.econbiz.de/10005739999

The Effect of a Transaction Tax on Exchange Rate Volatility

Lanne, Markku; Vesalay, Timo - Department of Economics, European University Institute - 2005

We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our … trades disproportionately, leading to increased volatility. Empirical support for this prediction is found by investigating … the effect of transaction costs on the volatility of DEM/USD and JPY/USD returns. High-frequency data are used and an …

Persistent link: https://www.econbiz.de/10005744342

Early News Is Good News. The Effects of Market Opening on Market Volatility.

Gallo, G.M.; Pacini, B. - Department of Economics, European University Institute - 1998

conditional volatility model of the GARCH class. …

Persistent link: https://www.econbiz.de/10005744354

Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model

Medeiros, Marcelo Cunha; Veiga, Alvaro - Departamento de Economia, Pontifícia Universidade … - 2004

financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and …

Persistent link: https://www.econbiz.de/10005744709

Total Factor Productivity and Monetary Policy: Evidence from Conditional Volatility

Apergis, Nicholas; Miller, Stephen M. - Department of Economics, University of Connecticut - 2007

This paper empirically assesses whether monetary policy affects real economic activity through its affect on the aggregate supply side of the macroeconomy. Analysts typically argue that monetary policy either does not affect the real economy, the classical dichotomy, or only affects the real...

Persistent link: https://www.econbiz.de/10005746169

Is there a diversification benefit from investing in the Arab Gulf stock markets? A multivariate GARCH analysis

Maghyereh, Aktham; Al-Zoubi, Haitham; Abderraheem, Sadeq - In: Global Business and Economics Review 7 (2005) 4, pp. 324-342

. We find that conditional heteroscedasticity is present in all these markets and also that conditional volatility responds … effects in both mean and variance between the Gulf stock markets. In addition, the asymmetric nature of volatility …

Persistent link: https://www.econbiz.de/10005747316

Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models.

Pitt, M.K.; Walker, S.G. - Department of Economics, University of Warwick - 2001

In this paper, we provide a method for modeling stationary time series. We allow the family of marginal densities for the observations to be specified. Our approach is to construct the model with a specified marginal family and build the dependence structure around it. We show that the resulting...

Persistent link: https://www.econbiz.de/10005748231