Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

1998 ◽  
Author(s):  
Jenny N. Lye ◽  
Vance L. Martin ◽  
Leslie Teo
Keyword(s):  
Exchange Rates ◽  
Conditional Variance ◽  
Conditional Variance Models

Response Asymmetries in Asian Stock Markets

2005 ◽  
Vol 08 (04) ◽  
pp. 637-657 ◽  
Author(s):  
Shuh-Chyi Doong ◽  
Sheng-Yung Yang ◽  
Thomas C. Chiang
Keyword(s):  
Stock Returns ◽  
Conditional Variance ◽  
Autocorrelation Coefficient ◽  
Conditional Mean ◽  
Asymmetric Effects ◽  
The Past ◽  
The Us ◽  
Mean And Variance ◽  
Conditional Variance Models ◽  
The Impact

This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and conditional variance models, we find the autocorrelation coefficient to be negative for the Japanese market and positive for the rest of the Asian markets studied. Our findings suggest that the Asian markets respond sensitively to the US market, especially on the down side. The asymmetric effects are found to be present in both mean and variance equations. The evidence is consistent with behavior in which investors in Asian markets tend to react more significantly to negative stock news originating from US sources than they do to positive news.

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 ◽  
Vol 7 (3) ◽  
pp. 297 ◽  
Author(s):  
Richard T. Baillie ◽  
Tim Bollerslev
Keyword(s):  
Exchange Rates ◽  
Conditional Variance

scholarly journals Comparing Conditional Variance Models: Theory and Empirical Evidence

2003 ◽  
Vol 7 (3/4) ◽  
pp. 177-206
Author(s):  
Paolo Girardello ◽  
◽  
Orietta Nicolis ◽  
Giovanni Tondini ◽  
◽  
...  
Keyword(s):  
Empirical Evidence ◽  
Conditional Variance ◽  
Conditional Variance Models
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