نتایج جستجو برای: volatility persistence
تعداد نتایج: 68727 فیلتر نتایج به سال:
This paper investigates the contribution of fundamentals to the persistence of currency crises by identifying the determinants of high volatility in the exchange market pressure index (empi) for some new EU member states. The Markov switching model is utilised to identify the high volatility of empi, and a linear regression analysis is conducted to find the sources of the transition probability...
Many researchers use GARCH models to generate volatility forecasts. Using data on three major U.S. dollar exchange rates we show that such forecasts are too high in volatile periods. We argue that this is due to the high persistence of shocks in GARCH forecasts. To obtain more flexibility regarding volatility persistence, this paper generalizes the GARCH model by distinguishing two regimes with...
The two-country monetary model is extended to include a consumption externality with habit persistence. The model is simulated using the artificial economy methodology. The ‘puzzles’ in the forward market are re-examined. The model is able to account for (a) the low volatility of the forward discount (b) the higher volatility of expected forward speculative profit (c) the even higher volatility...
This paper attempts to investigate the possibility of structural change in tanker freight volatilities pre-and during the financial crisis. The aim is to apply a Markov-switching general autoregressive conditional heteroskedasticity (MS-GARCH) model that identifies and estimates the parameters of high and low volatility states, which are associated with different stages in the business cycle. T...
This research is entitled “The Effect of Accrual Reliability, Debt Level and Cash Flow Volatility on Earnings Persistence”. The question “Is the persistence earnings affected by accrual reliability, debt levels cash flow volatility? objective to examine empirically effect volatility persistence. level are independent variables in this study while dependent variable. used secondary data form ann...
We introduce endogenous growth in an otherwise standard NK model with staggered prices and wages. Some results follow: (i) monetary volatility negatively affects long-run growth; (ii) the relation between nominal volatility and growth depends on the persistence of the nominal shocks and on the Taylor rule considered; (iii) a Taylor rule with smoothing increases the negative effect of nominal vo...
Volatility spillovers of the DM/$ and ¥/$ exchange rate across regional markets are examined using the integrated volatility of highfrequency data. An analysis of quoting patterns reveals ve distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility m...
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