We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the data. In the empirical study for four Dow Jones equities, we find that the degree of memory in the v...

This paper proposes volatility and spectral based methods for cluster analysis of stock returns. Using the information about both the estimated parameters in the threshold GARCH (or TGARCH) equation and the periodogram of the squared returns, we compute a distance matrix for the stock returns. Clusters are formed by looking to the hierarchical structure tree (or dendrogram) and the computed pri...

The study was undertaken to assess the effects of foreign debt repayment outflow on securities market Volatility at NSE, Kenya. connection between loan and stocks volatility has not been fully examined, despite being subject financial studies. Regarding how influences market, global empirical research yielded inconsistent conclusions. findings are contradictory, which calls for additional be do...

This article pursues two tasks. The first is to clarify the value and productivity of Williams’s Keywords: a vocabulary culture society (first edition 1976, second expanded 1983a) for project Cultural Studies. clarification helped, I argue, by reading it alongside Vološinov’s Marxism philosophy language (published in Russian 1929, translated into English 1973). related task speculative developm...

inflation has always been an economic problem and different solutions have been proposed to control it. although it is said that “higher output lowers inflation rate” but it is true when other factors are constant. this study searches the answer to the following question: “what is the effect of inflation rate and output in a case that inflation rate and output growth has a volatility trend?” to...