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
Bivariate GARCH Process, Volatility Feedback, Inflation Uncertainty, Output Variability
Asymmetric Power ARCH, Fractional integration, Stock returns, Volatility forecast evaluation
financial crisis, stochastic difference equations, structural breaks, time varying coefficients, volatility spillovers
economic growth, financial development, volatility, political instability, power-ARCH
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
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economic growth, financial development, political instability, power-ARCH, volatility
Bivariate GARCH process, negative volatility feedback, inflation uncertainty, output variability
GARCH-in-mean, Inflation, Level effect, Nominal uncertainty, Power transformation
covariance structure, homogeneous and particular solutions, optimal predictors, periodic ARMA models
economic growth, volatility, political instability, power-ARCH
economic growth, political instability, power-ARCH, volatility
abrupt breaks, covariance structure, cyclical processes, homogeneous and particular solutions, optimal predictors, periodic AR models
economic growth, financial development, volatility, institutions, political instability, power-GARCH
range-based volatility, financial crisis, foreign investors, long-memory, turnover volume
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
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Conditional heteroscedasticity, GARCH‐in‐mean, persistence, unit root tests
Inflation, Macroeconomic performance, Output growth, Stochastic volatility
