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
document that the conditional variances, covariances, and correlations of bond excess returns are significantly larger on macroeconomic announcement days. The excess returns of
The attractiveness of floor trading versus anonymous electronic trading systems for traders is analysed. We hypothesize that in times of low information intensity, the insight into
macroeconomic announcement effects in the US Treasury bond market 37 Bowden, R.J., The ordered mean difference as a portfolio performance measure 195 Brockman, P.. Chung, An
Value at Risk VaR has become a key tool for risk management of financial institutions. The regulatory environment and the need for controlling risk in the financial community
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
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
