Although volatility clustering has a long history as a salient empirical regularity characterizing
high-frequency speculative prices, it was not until recently that applied researchers in …

This paper presents theoretical results on the formulation and estimation of multivariate
generalized ARCH models within simultaneous equations systems. A new parameterization of …

Most research on hedging has disregarded both the long-run cointegrating relationship
between financial assets and the dynamic nature of the distributions of the assets. This study …

Existing time-varying covariance models usually impose strong restrictions on how past
shocks affect the forecasted covariance matrix. In this article we compare the restrictions …

We use a no-arbitrage, cost-of-carry asset pricing model to show that the existence of
cointegration between spot and forward (futures) prices depends on the time-series properties of …

In this paper, we use a multivariate GARCH-in-mean model of the reduced form of multilateral
exports to examine the relationship between nominal exchange rate volatility and export …

The short-term rate of interest is fundamental to much of theoretical and empirical finance,
yet no consensus has emerged on the dynamics of its volatility. We show that models which …

This paper uses recent advances in time‐series modeling to derive long‐horizon forecasts
of commodity price volatility which incorporate investors' expectations of volatility. Our results …

We present a model which shows that the currency composition of a country's external debt
can serve as a hedging instrument against changes in exchange rates and commodity prices…

Several studies find the empirical characteristics of financial data to be consistent with stable
Paretian distributions, while several other studies find the empirical characteristics to be …