Article history: Received 11 September 2012 Received in revised form 16 October 2013 Accepted 9 January 2014 Available online 17 January 2014 While the existing literature acknowledges the effect of banking structure on industrial growth as well as the effect of financial development on industrial growth and its volatility, we examine whether banking structure, given financial development, exer...

This paper focuses on portfolio risk forecasting in an asymmetrical framework. Risk is defined by two factors; the dependence structure and the volatility. In order to account for asymmetric dependencies, the return series’ interdependence is estimated via a Copula approach rather than the correlation matrix. This allows to capture tightening dependence during market turmoils and loose dependen...

a r t i c l e i n f o JEL classification: C14 C22 C58 G10 G15 E44 Keywords: MIDAS Conditional variance China In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it ...

sharp increase in oil price and the volatility in recent decades have attracted most researchers towards the field of energy. it seems not only the direct oil price, but also the uncertainty caused by the oil price volatility affect the raw oil supply. in this research the effect of oil price volatility on oil supply has been estimated using monthly time series data from january 1980 to septemb...

This paper empirically studies the effect of remittances on growth volatility. Using a panel of 60 countries over the period 1980-2004 the results suggest that remittances reduce growth volatility in environment with low level of financial development. This stabilizing effect of remittances is nonlinear i.e. it decreases with the level of remittances. The results also suggest that the dampening...

â â â â â  abstract: â  as the number of independent countries increases and their economies become more integrated, we would expect to observe more multi-country currency ::::union::::s. this paper explores the pros and cons for different countries to adopt as an anchor the us dollar, the euro or the yen. in addition, it addresses the question of how co-movement of outputs and prices would res...

the purpose of this paper is to evaluate the effect of financial liberalization on exchange rate volatilities of the selected developing countries, which are now known as liberalizing countries. thus we test the hypothesis in which financial liberalization effect exchange rate volatilities in 43 selected developing countries during 1996-2005. accordingly, a regression model of exchange rate vol...

Two major financial market complexities are transaction costs and uncertain volatility, and we analyze their joint impact on the problem of portfolio optimization. When volatility is constant, the transaction costs optimal investment problem has a long history, especially in the use of asymptotic approximations when the cost is small. Under stochastic volatility, but with no transaction costs, ...

We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that, besides default correlation, which was taken into account in earlier approaches, we also model credit spread volatility. Stochastic intensity models are adopted for the default events, and default...

We analyze the accuracy of the Lee / Ready (1991) trade classification algorithm and the simpler tick test. Our definition of true trade classification is based on whether the Makler (the equivalent of the specialist on the Frankfurt Stock Exchange) bought or sold shares. The Lee / Ready method classifies only 72.8% of the transactions correctly. The simpler tick test performs almost equally we...