In this paper, we empirically investigate the effect of short selling on market volatility during exogenously-induced uncertainties. Using Covid-19 pandemic and onset Russian-Ukraine Conflicts periods as event study, employ asymmetric EGARCH model. We show high persistence effects pre-covid outbreak and post-covid periods. find evidence that increases during period while conflict is characte...

Exchange rate volatility, or a continuous fluctuation in the currency has been major concern recent years due to its impact on economic activities. No wonder concerns have raised regarding connection between exchange fluctuations and their effects overall economy. The motivation for study is based fact that most emerging economies experiencing inflationary tendencies are more likely experience ...

The fiscal and financial reforms carried out in Mexico in 2000 have encouraged a widespread presence of rating agencies and have allowed several States and Municipalities to raise funds through bond offerings in the capital market. Any local government in Mexico intending to access credit and capital markets must count with at least one credit rating from one of the three main agencies: FitchRa...

How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity, real stock returns, real oil prices and oil price volatility. Results indicate the dominance of oil p...

Inspired by the idea that regime switching may give rise to persistence that is observationally equivalent to a unit root, we derive a regime switching process that exhibits long memory. The feature of the process that generates long memory is a heavytailed duration distribution. Using this process for volatility, we obtain a regime switching stochastic volatility (RSSV) model that we "t to dai...

Abstract As central banks struggle against high inflation in the aftermath of Covid-19 pandemic and war Ukraine, it is essential to understand open economy aspects determination. Using a Bayesian VAR with time-varying parameters stochastic volatility, we analyze behavior pass-through across time relation macroeconomic variables. Pass-through increases size volatility exchange rate level, varian...

State-of-the-art stochastic volatility models generate a “volatility smirk” that explains why out-of-the-money index puts have high prices relative to the Black-Scholes benchmark. These models also adequately explain how the volatility smirk moves up and down in response to changes in risk. However, the data indicate that the slope and the level of the smirk ‡uctuate largely independently. Whil...

Resilience is a major design goal for HPC. Checkpoint is the most common method to enable resilient HPC. Checkpoint periodically saves critical data objects to non-volatile storage to enable data persistence. However, using checkpoint, we face dilemmas between resilience, recomputation and checkpoint cost. Œe reason that accounts for the dilemmas is the cost of data copying inherent in checkpoi...