Volatility indices are fundamental in the study of stock markets. In this paper, we analyzed classical statistical characteristics main volatility index European markets (VStoxx) and evidenced some interesting connections cause-effect relationships between Hurst exponent moments distribution. Our results suggest that market is characterized by anti-persistence mean reversion variations seem to ...

This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based on the maximum likelihood method, a Bayesian Markov-chain Monte Carlo (MCMC) approach is adopted. A particle filter for the MSSV model, which is used for model comparison and diagnostics, is const...

This study examines the joint evolution of risk-neutral stock index and bond yield volatilities by using the Chicago Board Option Exchange S&P500 volatility index (VIX) and the Bank of America Merrill Lynch Treasury Option Volatility Estimate Index (MOVE). I use bivariate regime-switching models to investigate the alternation of ‘‘high-risk’’ and ‘‘low-risk’’ markets, where the high-risk regime...

We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the asymptotic theory for high-frequency realized volatility estimation to improve the accuracy of the forecasts. By allowing the parameters of the models to vary explicitly with the (estimated) degree of measurement error, the models exhibit stronger persistence, and in turn generate m...

As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have introduced environmental and social issues in conducting their business activities. Such behaviour is tracked by the Dow Jones Sustainable Indexes (DJSI) through financial market indexes that are derived from the Dow Jones Global Indexes. The s...

We propose a new time series representation of persistence in conditional variance called a long memory stochastic volatility (LMSV) model. The LMSV model is constructed by incorporating an ARFIMA process in a standard stochastic volatility scheme. Strongly consistent estimators of the parameters of the model are obtained by maximizing the spectral approximation to the Gaussian likelihood. The ...

Time series of financial asset returns often exhibit the volatility clustering property: large changes in prices tend to cluster together, resulting in persistence of the amplitudes of price changes. After recalling various methods for quantifying and modeling this phenomenon, we discuss several economic mechanisms which have been proposed to explain the origin of this volatility clustering in ...

Emerging market business cycles exhibit strongly countercyclical current accounts, consumption volatility that exceeds income volatility, and “sudden stops” in capital inflows. These features contrast with developed small open economies. Nevertheless, we show that a standard model characterizes both types of markets. Motivated by the frequent policy regime switches observed in emerging markets,...

Article history: Received 18 July 2012 Received in revised form 26 September 2013 Accepted 6 November 2013 Available online 15 November 2013 It seems reasonable to expect financial market efficiency to be related to the economic development level. We study a 16 year sample, covering 22 countries. The Hurst–Mandelbrot–Wallis rescaled range is our efficiency measure, which we apply to returns and...

Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO’s World Heritage List. For the potential negative impacts of mass tourism on the environment, and hence on future international tourism demand, to be managed appropriately require modelling growth ...