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"This thesis examines whether unusually negative financial news is associated with increased short-term market volatility, measured by absolute VIX movements. The analysis is based on more than 1.3 million cleaned and de...

This study gives a non-traditional framework for the evaluation of the convenience of an asymmetric monetary association (such as dollarization), from the point of view of the country that gives up its monetary sovereign...

I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I in...

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, (...

Subjects / keywords: Volatility (finance); Economics; Volatility smile; Implied volatility; Volatility swap; Econometrics; Forward volatility; Autoregressive model; Realized variance; Stock (firearms); Stock market volatility; Volatility ris...

El objetivo de este artículo es examinar la relación existente entre la volatilidad de la tasa de cambio y el volumen de exportaciones, usando datos brasileños. Después de establecer la existencia de cointegración e...

"We study experimentally the properties of the flow of mechanical vibration-driven vehicles confined in two chambers connected through a narrow opening. We report that the density of particles around the opening presents...

ABSTRACT We propose a theory of securities market under‐ and overreactions based on two well‐known psychological biases: investor overconfidence about the precision of private information; and biased self‐attributi...

ABSTRACT We study how investor sentiment affects the cross‐section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to...

Abstract We develop a new index of economic policy uncertainty (EPU) based on newspaper coverage frequency. Several types of evidence—including human readings of 12,000 newspaper articles—indicate that our index prox...

Este trabajo documenta los cambios en la distribución del ingreso de Argentina desde mediados de los setenta hasta mediados de los años 2000. La desigualdad aumentó significativamente durante este período, con dos ti...

In spite of years of research and development, formal structured estimation of time and effort required to develop a Management Information System (MIS) is still an open problem. Usual estimation techniques applied by no...

We develop a model in which the elasticity of credit to exogenous shocks depends on creditor rights regulations. We show that an increase in creditor protection reduces the elasticity of credit supply to exogenous shocks...

Microbusinesses play a crucial role in Argentina’s economy, providing employment and supporting local development. However, their growth and sustainability are constrained by persistent challenges, including inflation,...

This paper focuses on capital flow volatility in Emerging Market Economies, EMs. Capital inflows rose to unprecedented heights in the first part of the 1990s, and collapsed very rapidly in the second. Volatility could pa...

Microbusinesses are the backbone of Argentina’s productive structure and make up 83% of businesses, yet they operate in a context marked by economic volatility and institutional gaps. This study investigates the surviv...

This work evaluates the social effects of economic instability using a rotating panels. It is divided in three parts: the first note qualifies the assessment of inequality in a context of changing income volatility measu...

This paper analyzes the demand for money in Argentina using the new open macroeconomic framework provided by the Redux Model. In a set up of this model with nontradable goods the fundamentals of money demand appear to be...

We study the relationship between exchange rate regimes and economic growth for a sample of 154 countries over the post-Bretton Woods period (1974-1999), using a new de facto classification of regimes based on the actual...

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...

Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I oil-price shock, and the 9/11 terrorist attacks. This paper offers a structural framework to analyze t...

Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) proce...

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...