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Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivari...

This paper assesses the impact of the Liquidity Program for Growth Sustainability (LPGS) on Latin America and the Caribbean, instrumented by the IDB to confront the regional spillovers of the subprime crisis. This emerge...

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequal...

Previous article Next article Fractional Brownian Motions, Fractional Noises and ApplicationsBenoit B. Mandelbrot and John W. Van NessBenoit B. Mandelbrot and John W. Van Nesshttps://doi.org/10.1137/1010093PDFBibTexSecti...

ABSTRACT We find support for a negative relation between conditional expected monthly return and conditional variance of monthly return, using a GARCH‐M model modified by allowing (1) seasonal patterns in volatility, (...

INAF PRINSKA 2017 programme 1.05.01.88.04 Comisión Nacional de Investigación Cientifica y Tecnológica (CONICYT) CONICYT FONDECYT 1170618 European Research Council (ERC) 695671 Science & Technology Facilities Counci...