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Asymmetric volatility connectedness on the forex market

Asymmetric volatility connectedness on the forex market
Digital文書・図像類
Baruník, Jozef, Kočenda, Evžen, Vácha, LukášInstitute of Economic Research, Kyoto University2017-01KIER Discussion Paper956
Available onlineOther Libraries in Japan
  • Subject Headingvolatility connectedness spillovers semivariance asymmetric effects forex market

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Digital文書・図像類
Chang, Chia-Lin, McAleer, Michael, Lim, ChristineInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper783
Available onlineOther Libraries in Japan
  • Summary, etc.... former has an asymmetric effect on risk from p...... latter has no asymmetric effect. Moreover, there is a leverag...
  • Subject HeadingTourist arrivals long haul short haul risk conditional volatility asymmetric effect leverage

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Digital文書・図像類
Asai, Manabu, McAleer, MichaelInstitute of Economic Research, Kyoto University2010-11KIER Discussion Paper739
Available onlineOther Libraries in Japan
  • Summary, etc....y incorporates asymmetric effects by introducin......categories for asymmetric effects, which descri......ence among the asymmetric effect of the EGARCH ......with empirical asymmetric effects found to be statistically si...
  • Subject HeadingStochastic volatility asymmetric effects leverage threshold indicator...

Alternative Asymmetric Stochastic Volatility Models

Alternative Asymmetric Stochastic Volatility Models
Paper文書・図像類
Asai, Manabu, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-655
Other Libraries in Japan
  • Subject HeadingStochastic volatility asymmetric effects leverage threshold indicator...

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael, Lim, Christine日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-647
Other Libraries in Japan
  • Subject HeadingTourist arrivals risk conditional volatility asymmetric effect leverage JEL: L83, C22, C53

Structure and Asymptotic Theory for Multivariate Asymmetric Volatility : Empirical Evidence for Country Risk Ratings

Structure and Asymptotic Theory for Multivariate Asymmetric Volatility : Empirical Evidence for Country Risk Ratings
Paper文書・図像類
Hoti, Suhejla, Felix, Chan, Michael, McAleer日本経済国際共同センター2003-03Discussion paper series. CIRJE-F2003-CF-203
Other Libraries in Japan
  • Subject Heading...iate structure asymmetric effects regularity conditions asympt...

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