Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1.2000:
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volatility FIGARCH models are now standard, as are multivariate GARCH models. In this paper, we adopt a combination of the two methodologies. There is as yet little consensus on
and the return on the market index. The Switching Regime Beta Model SRBM is a sort of market model or better a single factor model in the APT framework where the return of a
In this paper, we study the potential of stocks as a hedge against inflation for different investment horizons. We show that stocks can be a hedge against inflation even if
The DDMS model considered in this study is only a two-state model, however, it acts like a large N state model in that it can capture a broad range of volatility levels
This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is
In this paper, we provide a detailed characterization of the return volatility in US Treasury bond futures contracts using a sample of 5-min returns from 1994 to 1997. We find
Hedge funds often employ opportunistic trading strategies on a leveraged basis. It is natural to find their footprints in most major market events. A ‘‘small bet’’ by large
