5 The Physical Properties of the Minority Game 10 5.1 Major features: Phase transition, Volatility and Predictability . . 10 5.2 Formation of Crowds and Anitcrowds and Anti-persistence in the Symmetric Phase . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 5.3 Dependence on Temperature and Initial Conditions . . . . . . . . 15 5.4 The cases of S > 2 . . . . . . . . . . . . . . . . . . ....

This paper analyzes volatility spillovers in multivariate GARCH-type models. We show that the cross-effects between the conditional variances determine the persistence of the transmitted volatility innovations. In particular, the effect of a foreign volatility innovation on a conditional variance is even more persistent than the effect of an own innovation unless it is offset by an accompanying...

This paper examines the volatility dynamics of the greater China stock markets (Shanghai Aand Bshares, Shenzhen Aand B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which are typically observed in stock markets of developed economies. Specifically, we introduce two ne...

This paper modifies the standard Mortensen-Pissarides job matching model in order to explain the cyclical behavior of vacancies and unemployment. The modifications include strategic wage bargaining (Hall and Milgrom, 2006) and convex labor adjustment costs. The results reveal that our model replicates the cyclical behavior of both variables remarkably well. First, we show that strategic wage ba...

This paper investigates sudden changes in volatility in the stock markets of new European Union (EU) members by utilizing the iterated cumulative sums of squares (ICSS) algorithm. Using weekly data over the sample period 1994–2006, the time period of sudden change in variance of returns and the length of this variance shift are detected. A sudden change in volatility seems to arise from the evo...

Dichev and Tang (2008) (this issue) document the incremental predictive power of past earnings volatility for the persistence of current earnings. We revisit their findings by allowing for several theoretically motivated factors (firm size, earnings growth, and the extent of managerial accounting discretion as detected by abnormal accruals) in order to verify the robustness of this effect. We a...

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to estimate ex post latent volatility imply that standard time series models of the conditional variance become variants of an ARMAXmodel. We explore nonlinear departures from these lin...

The local level model with stochastic volatility, recently proposed for U.S. by Stock and Watson (Why Has U.S. Inflation Become Harder to Forecast?, Journal of Money, Credit and Banking, Supplement to Vol. 39, No. 1, February 2007), provides a simple yet sufficiently rich framework for characterizing the evolution of the main stylized facts concerning the U.S. inflation. The model decomposes in...

Modeling and forecasting volatility of capital markets has been important area of inquiry and research in financial economics with the recognition of time-varying volatility, volatility clusturing, and asymmetric response of volatility to market movements. Given the anticipated growth of the Nepalese stock market and increasing interest of investors towards investment in Nepalese stock market, ...