Uxbridge UB8 3PH
United Kingdom
Brunel University London - Economics and Finance
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derivatives trading, emerging markets, long-memory, range-based volatility, value of
derivatives trading, emerging markets, long-memory, range-based volatility, value of shares traded
Inequality constraints, multivariate GARCH processes, volatility feedback
Economic Growth, Institutions, Political Instability, Power-ARCH, Volatility
Bivariate GARCH Process, Volatility Feedback, Inflation Uncertainty, Output Variability
Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation
economic growth, financial development, volatility, political instability, power-ARCH
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economic growth, financial development, political instability, power-ARCH, volatility
financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers
financial crisis, foreign investors, individual investors, institutional investors, long memory, range-based volatility, structural change, trading volume
Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability
economic growth, volatility, political instability, power-ARCH
economic growth, political instability, power-ARCH, volatility
GARCH-in-mean, Inflation, Level effect, Nominal uncertainty, Power transformation
covariance structure, homogeneous and particular solutions, optimal predictors, periodic ARMA models
asymmetries, economic policy uncertainty, HEAVY model, high-frequency data, macro-financial linkages, power transformations, realized variance, risk management
economic growth, financial development, volatility, institutions, political instability, power-GARCH
ARMA Process, Asymptotic Stability, Asymptotic Efficiency
abrupt breaks, covariance structure, cyclical processes, homogeneous and particular solutions, optimal predictors, periodic AR models
cross-country tourism correlations, economic policy uncertainty, financial/health crisis, financial integration, sectoral contagion, travel and leisure industry
range-based volatility, financial crisis, foreign investors, long-memory, turnover volume
economic growth, structural breaks, Argentina
Inflation persistence, GARCH-in Mean, structural breaks, Monte Carlo simulations, optimal forecasts
Financial Crisis, Metal Futures, Structural Breaks, Time-Varying Volatility
Inflation, Macroeconomic performance, Output growth, Stochastic volatility
