(ARES). We would also particularily like to thank the Editor, Ed Coulson, and two referees for their helpful comments, but are responsible for any remaining errors. Cotter's contribution to the study has been supported by a University College Dublin School of Business research grant. Abstract One stylized feature of financial volatility impacting the modeling process is long memory. This paper ...

We embed systematic default, procyclical recovery rates and habit persistence into a model with a slight possibility of a macroeconomic disaster of reasonable magnitude. We derive analytical solutions for defaultable bond prices and show that a single set of structural parameters calibrated to the real economy—and not to bond prices—can simultaneously explain several key empirical regularities ...

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We nd strong evidence of heteroskedasticity in daily, weekly and monthly returns. The conditional variance of all three data series seem best approximated by a garch(1,1) model. The garch parameter estimates at all data frequencies exhibit strong persistence in...

I propose an intertemporal precautionary saving model in which the agent’s labor income is subject to (possibly correlated) shocks with different degrees of persistence and volatility. However, he only observes his total income, not individual components. I show that partial observability of individual components of income gives rise to additional precautionary saving due to estimation risk, th...

In this paper, we estimate GARCH, EGARCH, and GJR-GARCH models assuming normal and heavy-tailed distribution (i.e., GED). Results suggest that when the heavy-tailed distribution is considered, the persistence has found to be reduced in all the cases. Findings also reveal that positive shocks are more common than the negative shocks in this market.

In this paper we examine the effects of two types of “induced uncertainty”, model uncertainty due to robustness (RB) and state uncertainty due to finite information-processing capacity (called rational inattention or RI), on consumption and the current account. We show that the combination of RB and RI improves the model’s predictions for (i) the contemporaneous correlation between the current ...

The paper investigates persistence, returns and volatility spillovers from the bitcoin market to gold silver markets using daily datasets January 2, 2018 July 31, 2020 by employing fractional persistence framework. results show strong price with posing highest while poses lowest persistence. of multivariate GARCH modelling, CCC-VARMA-GARCH model other lower variants indicate impossibility spill...

This paper presents a model for asset returns incorporating both stochastic volatility and jump e ects. The return process is driven by two types of randomness: small random shocks and large jumps. The stochastic volatility process is a ected by both types of randomness in returns. Speci cally, in the absence of large jumps, volatility is driven by the small random shocks in returns through a G...

Volatility is an important concept for identifying and predicting the risk of financial products. The aim study to determine most appropriate discrete model volatility Bitcoin returns using discrete-time GARCH its extensions compare it with Lévy driven continuous-time model. For this purpose, modeled daily data / United States Dolar exchange rate. By comparing models according information crite...