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Market Volatility in Israel 19922000 r
Country Portfolio Return and Volatility 19922000
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3-month treasury bills additional information content ALPHA(2 asset returns BETA Coefficients central bank changes corresponding covariance matrix cross-asset model cross-country model daily returns decline DLNNASDAQ DLNSEARG DLNSEISUSD dummy variable exchange rate band exogenous variable vector exogenous variables affecting exposure indicators fluctuations foreign exchange foreign exchange market GARCH terms IMF staff calculations impact incorporating MVI interest rate volatility Israeli stock market LNSEIS market risk market volatility indicator mean equations mean return equations measured medium-term MERVAL minimum variance minimum-variance portfolio Multivariate GARCH models NASDAQ observed OMEGA(2 one-day lagged parameter patterns and correlations percent confidence Portfolio Adjustment rate and interest rate and stock rate equation raw and squared Raw returns real interest rate reflecting relative risk environment risk exposure sample period Schwarz criterion spillover squared returns series stock price returns stock price volatility Table THETA(1 threshold effects treasury bill U.S. dollars unconditional variance variance equations variance-covariance matrix volatility persistence weekend effect