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Encompassing a very broad family of ARCH-GARCH models, we show that the AT-GARCH (1,1) model, where volatility rises more in response to bad newsthan to good news, and where news are considered bad only below a certain level, is a remarkably robust representation of worldwide stock market...
Standard ARCH-GARCH models usually impute a high degree of persistence toconditional volatility. This persistence may be spurious if theconditional volatility is subject to structural change. This paper appliesthe Switching ARCH(SWARCH) model of Hamilton and Susmel (1994) toinvestigate regime...
This paper investigates the predictive power of implied variancesextracted from the dollar/yen option prices. Implied variances areestimated from transaction prices of currency options traded on PHLXusing the option pricing model of Garman and Kohlhagen (1983). Incontrast to recent findings on...
Little attention has been paid in the literature to the impact of different investment horizons on the portfolio compositiondespite its importance to portfolio managers. One exception isthe study by Gunthorpe and Levy (1994) on the U.S. stock market.Our paper extends the same study to the stock...
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