This paper proposes a procedure for using a GARCH or exponentially weighted moving average model in conjunction with historical simulation when computing value at risk. It involves adjusting historical data on each market variable to reflect the difference between the historical volatility of the market variable and its current volatility. We compare the approach using nine years of daily data ...

this paper aims to determine the impact of dividend policy on stock price volatility by taking firms listed on tehran stock exchange.  a sample of 68 listed companies from tehran stock exchange is examined for a period from 2001 to 2012.  the estimation is based on cross-sectional ordinary least square regression analysis to find the relationship between share price volatility and dividend poli...

Abstract This study considers the long memory and fractional integration in range-based volatilities across 30 currencies against USD. Graphical analysis of autocorrelation function at lags pole near zero frequencies periodogram suggests existence integration. We apply semi-parametric methods to measure long-range dependence. find a decrease estimates with an increase bandwidth, which indicates...

Motivated by empirical evidence, we construct a model where heterogeneous boundedly rational market participants rely on a mix of technical and fundamental trading rules. The rules are applied according to a weighting scheme. Traders evaluate and update their mix of rules by a genetic algorithm. Already for a low probability of fundamental shocks the interaction between the traders results in a...

This paper employs a Kalman filter approach to test the Expectations Hypothesis and characterize how term premia have changed over time for short-term Canadian interest rates. The Kalman filter approach is extended to account for changes in interest rate volatility, possible permanent changes in term premia, and overlapping forecast errors. The Expectations Hypothesis is strongly rejected with ...

We discuss the development of dynamic factor models for multivariate nancial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot exchange rates for a selection of international currencies. The models are direct generalisations of u...

This paper investigates the effect of exchange rate uncertainty on the Iran’s import trade. The exchange rate ‎uncertainty series were generated utilizing the TARCH model. This model analyzes the asymmetric effects. The analysis of uncertainty and asymmetry ‎of the exchange rate shows significant TARCH ‎effect on Iran’s exchange rates‎. The findings of the study indicate negative shocks (bad ne...

We con...rm the presence of substantial non-linearities in real exchange rate dynamics at the sectoral level. There exists zones where arbitrage is not pro...table because of transaction costs, and thus mean reversion is inexistent. We compute the speed of mean reversion of sector speci...c real exchange rates, conditional on the existence of arbitrage as implied by our non-linear estimations, ...