Results 21 to 30 of about 525,958 (299)
Does Changes in Characteristics of a Fixed Exchange Rate Regime Impact Conditional Volatility? Evidence from the Case of Morocco [PDF]
Statistika: Statistics and Economy Journal, 2020 This article aims to exhibit and study the impacts that changing characteristics of a fixed exchange rate regime has on conditional volatility. To do so, using the U.S.
Hamza Bouhali +2 more
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AGROMIX, 2022 Introduction: Most food commodity prices on the world market increased drastically in late 2006 to mid 2008. The increase in food prices in 2008 was triggered by the global crisis.
Prasmita Dian Wijayati +2 more
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Path-Conditional Forward Volatility [PDF]
, 2006 In derivatives modeling, it has often been necessary to make assumptions about the volatility of the underlying variable over the life of the contract. This can involve specifying an exact trajectory, as in the Black and Scholes (1973), Merton (1973) or Black (1976) models; one that depends on the level of the underlying variable as in the local ...
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Microbial volatile compounds in health and disease conditions [PDF]
Journal of Breath Research, 2012 Microbial cultures and/or microbial associated diseases often have a characteristic smell. Volatile organic compounds (VOCs) are produced by all microorganisms as part of their normal metabolism. The types and classes of VOC produced is wide, including fatty acids and their derivatives (e.g.
Thorn, Robin Michael Statham +1 more
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Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence [PDF]
, 2021 We propose a multiplicative dynamic factor structure for the conditional modelling of the variances of an N-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework is based on an observation-driven time series model that is simple and parsimonious.
Francisco Blasques +2 more
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Bivariate Volatility Modeling with High-Frequency Data
Econometrics, 2019 We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural
Marius Matei, Xari Rovira, Núria Agell
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Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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Long memory conditional volatility and asset allocation [PDF]
International Journal of Forecasting, 2011 In this paper, we evaluate the economic benefits that arise from allowing for long memory in forecasting the covariance matrix of returns over both short and long horizons, using the asset allocation framework of Engle and Colacito (2006). In particular, we compare the statistical and economic performance of four multivariate long memory volatility ...
Harris, Richard D. F., Nguyen, Anh
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Conditional threshold effects of stock market volatility on crude oil market volatility
Energy Economics, 2023 In this paper, we analyze conditional threshold effects of stock market volatility on crude oil market volatility. We use Conditional Threshold Autoregression (CoTAR), a novel extension of TAR from a constant threshold to a time-varying threshold. The conditional threshold is specified as an empirical quantile of recent realizations of a threshold ...
Kaiji Motegi, Shigeyuki Hamori
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The conditional volatility premium on currency portfolios [PDF]
Journal of International Financial Markets, Institutions and Money, 2021 Our paper examines conditional risk-return relations in a number of currency investment strategies, while modeling economic states using a large number of underlying risk factors. We identify a time-varying relationship between currency returns and volatility risk for most currency portfolios.
Byrne, Joseph P., Sakemoto, Ryuta
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