14 research outputs found

    Time‐series properties and predictability of Greek exchange rates

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    This paper explores the time‐series properties and predictability of weekly percentage changes in the Greek drachma exchange rates with respect to the currencies of major trading‐partner countries, such as the USA, Germany, the UK, France, Italy and Japan. The analysis is carried out using the EGARCH‐M model along with the power exponential distribution. Percentage changes in the Greek drachma with respect to the German mark, the French franc, the Italian lira and Japanese yen are predictable using past information. The volatility of Greek exchange rates is best represented by an EGARCH process and as such is predictable using past volatility measures. Moreover, volatility of the Greek drachma with respect to the German mark and Italian lira positively influences future movements in these exchange rates. The hypothesis that volatility is an asymmetric function of past innovations is rejected in all cases. Following the inclusion of the Greek drachma in the ECU currency basket, its value has been depreciating at a higher rate with respect to the German mark and Italian lira and at a lower rate with respect to the US dollar. Also, its volatility with respect to the German mark, the French franc, and the Italian lira has decreased, whereas its volatility with respect to the US dollar has increased

    Linkages between the U.S. and Japanese stock markets: a bivariate garch-m analysis

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    Early empirical studies found that the Japanese stock market was one of the least integrated, had many unique characteristics, and was relatively isolated from other national stock markets, e.g., Ripley (1973). However, the gradual liberalization of the Japanese product and capital markets has substantially changed this picture. The Tokyo Stock Exchange (TSE) is increasingly becoming one of the most important players in the international arena. Along with the New York Stock Exchange (NYSE), they are the largest in terms of capitalization, volume and shares listed, and are perhaps the most influential in the world. The general movement of stock prices on the NYSE and TSE receive considerable attention from the international press, portfolio managers, international mutual funds, and financial institutions, among others. Exploring the nature and degree of interdependence between the two stock exchanges is, therefore, an important task and of interest to both private and institutional investors

    Time-varying betas and volatility persistence in International Stock markets

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    This paper investigates the degree of volatility persistence and the time-varying behavior of systemic risk (beta) for ten international stock markets. The findings suggest that small capitalization markets exhibit considerably higher volatility persistence than large capitalization markets. Market betas with respect to a value-weighted world index are time-dependent for many of the markets examined. Interestingly, markets with high volatility persistence possess higher systematic risk during periods of high world market volatility. © 1994

    Stochastic behaviour of the Athens stock exchange

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    Incorporated into: Applied Economics (1969 - current)The stochastic behaviour of stock prices on the Athens Stock Exchange in Greece is investigated. The methodology employed is Nelson's (1991) exponential GARCH-M model, which allows shocks to have an asymmetric impact on volatility. The findings suggest that both the first and the second moments of the distribution of returns are time-dependent, and as such cannot be modelled as white-noise processes. Specifically, volatility is an asymmetric function of past shocks in the sense that positive shocks have a greater impact on volatility than negative shocks. When returns are measured in dollar terms, the estimated risk premium is positive and significant, i.e. returns are positively related to volatility. These findings are in contrast to those discovered by other studies for the US stock prices, e.g. Pagan and Schwert (1990) and Nelson (1991)

    Time-varying betas and volatility persistence in International Stock markets

    No full text
    This paper investigates the degree of volatility persistence and the time-varying behavior of systemic risk (beta) for ten international stock markets. The findings suggest that small capitalization markets exhibit considerably higher volatility persistence than large capitalization markets. Market betas with respect to a value-weighted world index are time-dependent for many of the markets examined. Interestingly, markets with high volatility persistence possess higher systematic risk during periods of high world market volatility. © 1994

    A Study of Recirculating Flow Fields Downstream of a Diverse Range of Axisymmetric Bluff Body Geometries Suitable for Flame Stabilization

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    This work investigates the non-reacting time averaged and fluctuating flow field characteristics downstream of a variety of axisymmetric baffles, operating in combination with an upstream double-cavity premixer arrangement. The study aims to broaden knowledge with respect to the impact of different bluff body shapes, leading and trailing edge flow contours, blockage ratios and incoming flow profiles impinging on the bluff body, on the development and properties of the downstream recirculating wake. Particle Image Velocimetry (PIV) measurements have been employed to obtain the mean and turbulent velocity fields throughout the centrally located recirculation zone and the adjacent developing toroidal shear layer. The results are helpful in demarcating the cold flow structure variations in the near wake of the examined baffles which support and, to some extent, determine the flame anchoring performance and heat release disposition in counterpart reacting configurations. Additionally, such results could also assist in the selection of the most suitable flame stabilization configuration for fuels possessing challenging combustion behavior such as multi-component heavier hydrocarbons, biofuels, or hydrogen blends

    Volatility reversion and correlation structure of returns in major international stock markets

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    This paper investigates the stochastic behavior of weekly stock market returns in the U.S., Japan, and the U.K. during the period 1984 to 1994. The analysis is carried out using an augmented version of Bollerslev’s [7] multivariate GARCH model with structural dummies to test for differences in the mean, volatility, and covariance structure of returns during the pre- and post-October 1987 crash periods. In addition, the paper explores the issue of the volatility reversion and time-varying behavior of correlation structure of returns in these markets. Mean-spillovers exist from the U.S. and Japan to the U.K. The magnitude of these spillovers is, however, low. Volatility spillovers exist from the U.S. and, to a lesser extent, from Japan to the U.K. Mean returns in all three markets and volatility in Japan and the U.K. are the same during the two periods, while volatility in the U.S. is lower during the post-crash period. With the exception of the correlation of returns between Japan and the U.K., which has doubled since the October 1987 crash, the remaining correlations are statistically similar during the two periods. Simulations performed indicate that volatility is reverting in the sense that, when it departs from its long-run equilibrium level, it tends to revert back to that leve
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