It is well known that some XML elements correspond to objects (in the sense of object-orientation) and others do not. The question we consider in this paper is what benefits we can derive from paying attention to such object semantics, particularly for the problem of keyword queries. Keyword queries against XML data have been studied extensively in recent years, with several lowest-common-ances...

This paper assesses the relative economic value of volatility and correlation timing in the context of asset allocation strategies. Using exchange rate data, we model the dynamic covariance matrix of daily returns by implementing a set of multivariate models based on Dynamic Conditional Correlation (DCC) model of Engle (2002). Our analysis takes a Bayesian approach in both estimation and asset ...

s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

We show that, for three common SARV models, fitting a minimum mean square linear filter is equivalent to fitting a GARCH model. This suggests that GARCH models may be useful for filtering, forecasting, and parameter estimation in stochastic volatility settings. To investigate, we use simulations to evaluate how the three SARV models and their associated GARCH filters perform under controlled co...

a r t i c l e i n f o Keywords: Price range CARR Financial crisis Smooth transition copula Volatility contagion REIT We use a newly-developed time-varying range-based volatility model to capture the dynamics of securi-tized real estate volatility. The novelty of the model is the use of a smooth transition copula function to capture the nonlinear comovements between major REIT markets in the pre...