39 datasets found

This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced...

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional...

This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the...

This paper develops a new model for the analysis of stochastic volatility (SV) models. Since volatility is a latent variable in SV models, it is difficult to evaluate the exact...

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is...

Most of the empirical applications of the stochastic volatility (SV) model are based on the assumption that the conditional distribution of returns, given the latent volatility...

Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This...

Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A...

The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class...

This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket...

Due to high and low volatility periods, time series of absolute returns experience temporary level shifts which differ in length and size. In this paper we modify the basic...

In this paper we provide both qualitative and quantitative measures of the precision of measuring integrated volatility by realized volatility for a fixed frequency of...

In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM...

We identify two major changes in the dynamics of the federal funds rate in the 1990s. We model the desired rate in a two-regime setting, one when the Fed makes no change and the...

We study the effects of growth volatility and inflation volatility on average rates of output growth and inflation for post-war US data. Our results suggest that increased...

In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time...

This paper investigates the nature of nonlinearities in the monetary policy rule of the US Federal Reserve (Fed) using the flexible approach to nonlinear inference. We find that...

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM...

We propose a general double tree structured AR-GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several...

This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and...