Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
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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
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
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
A safety-first investor maximizes expected return subject to a downside risk constraint. Portfolio choice and equilibrium in capital x markets with safety-first investors. use the
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
a long-run equilibrium between yields, default rates, and Treasuries , mutual fund flows, minor bond ratings, debt subordination measures, a stock index, and a January
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
