This paper examines the effects of inflation and currency substitution volatility on the average rates of inflation and currency substitution for twelve emerging market economies. Using a bivariate GARCH-in-Mean model, which accommodates for asymmetric and spillover effects of inflation and currency substitution innovations on their volatilities, we find that for the majority of the countries i...

Article history: Received 14 February 2014 Accepted 2 November 2014 Available online 8 November 2014 We apply a jump GARCH model to daily returns of the ten largest international securitized real estatemarkets and investigate the sources of large price changes. We document, for the first time, evidence for jump dynamics across major international securitized real estate markets. Large price jum...

We develop a GARCH option model with a variance premium by combining the HestonNandi (2000) dynamic with a new pricing kernel. While the pricing kernel is monotonic in the stock return and in variance, its projection onto the stock return is nonmonotonic. A negative variance premium makes it appear U-shaped. We present new semi-parametric evidence to confirm this U-shaped relationship between t...

This paper examines the hypothesis that both stock returns and volatility are asymmetric functions of past information derived from domestic and US stock-market news. The evidence finds the presence of negative autocorrelation, which is consistent with the dominance of positive-feedback trading behavior. By employing a double-threshold autoregressive GARCH model to investigate four major index-...

This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate that the three features exist in the Taiwan exchange rate. Besides time-varying condi...

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined st...

The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

exchange rate and national income of countries trading with each other are among the most important factors affecting each country's trade. considering the political and economic ties between iran and venezuela in recent years, the goal of this paper was to investigate the effect of exchange rate volatility on exports of iran to venezuela. data used in this research include annual data for...

Abstract The aim of the paper is to compare forecasting performance a class statedependent autoregressive (SDAR) models for univariate time series with two alternative families nonlinear models, such as SETAR and GARCH models. study conducted on US GDP growth rate using quarterly data. Two methods forecast comparison are employed. first method consists in evaluation average by measures root mea...