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Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2009

, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …

Persistent link: https://www.econbiz.de/10005731543

A Model for Multivariate Non-negative Valued Processes in Financial Econometrics

Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2007

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

Persistent link: https://www.econbiz.de/10005731544

Modelos de memoria larga para series económicas y financieras

Pérez, Ana; Ruiz, Esther - In: Investigaciones Economicas 26 (2002) 3, pp. 395-445

This paper provides a review of time series models with long memory in the mean and conditional variance, with special attention to Fractionally Integrated ARMA processes (ARFIMA) and fractionally integrated GARCH and SV processes. Their more important properties are reviewed and its application...

Persistent link: https://www.econbiz.de/10005736263

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