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May 18, 2013

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Subject/Keyword: GARCH

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1. Title: What Drives the POLONIA Spread in Poland?   Author/Editor: Lu, Yinqiu   Series: Working Paper No. 12/215   Published: August 01, 2012   Subject(s): Banking systems | Central bank policy | Interest rate policy | Interest rates | Liquidity | Monetary policy | Poland   Author's Keyword(s): Poland | POLONIA | monetary policy | interbank market | and GARCH   2. Title: Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries   Author/Editor: Poghosyan, Tigran   Series: Working Paper No. 10/255   Published: November 01, 2010   Subject(s): Consumption | Cooperation Council for the Arab States of the Gulf | Currency pegs | Economic models | Foreign exchange | Inflation | Oil prices | Risk premium | Saudi Arabia | United Arab Emirates | United States   Author's Keyword(s): foreign exchange risk | time-varying risk premium | multivariate GARCH-in-Mean | GCC   3. Title: What Drives China's Interbank Market?   Author/Editor: Porter, Nathaniel John ; Xu, TengTeng   Series: Working Paper No. 09/189   Published: September 01, 2009   Subject(s): Asset prices | Bank regulations | Banking sector | Bond markets | Capital markets | Central bank policy | China, People's Republic of | Economic models | Interest rates | Interest rates on deposits | Interest rates on loans | Liquidity | Monetary policy | Pricing policy   Author's Keyword(s): Interbank market | monetary policy | GARCH | China   4. Title: The Effectiveness of Central Bank Interventions During the First Phase of the Subprime Crisis   Author/Editor: Frank, Nathaniel ; Hesse, Heiko   Series: Working Paper No. 09/206   Published: September 01, 2009   Subject(s): Bank credit | Banking sector | Central bank policy | Central banks | Credit risk | Economic models | Financial crisis | Liquidity management | Loans | Monetary policy | Risk management   Author's Keyword(s): Interbank markets | Financial Crisis | Markov-Switching | GARCH   5. Title: Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR: Evidence from Stock Markets   Author/Editor: Sun, Tao ; Zhang, Xiaojing   Series: Working Paper No. 09/166   Published: August 01, 2009   Subject(s): Asset prices | Capital markets | China, People's Republic of | Credit risk | Economic integration | Economic models | External shocks | Financial crisis | Financial sector | Hong Kong Special Administrative Region of China | Spillovers | Stock markets | Stock prices | United States   Author's Keyword(s): subprime crisis | spillovers | GARCH   6. Title: Financial Spillovers to Emerging Markets during the Global Financial Crisis   Author/Editor: Frank, Nathaniel ; Hesse, Heiko   Series: Working Paper No. 09/104   Published: May 01, 2009   Subject(s): Banking sector | Bond markets | Capital markets | Cross country analysis | Developed countries | Developing countries | Economic models | Emerging markets | Financial crisis | Liquidity | Spillovers | Stock markets   Author's Keyword(s): Emerging Markets | Subprime Crisis | Liquidity | Solvency | GARCH   7. Title: Global Volatility and Forex Returns in East Asia   Author/Editor: Kalra, Sanjay   Series: Working Paper No. 08/208   Published: September 01, 2008   Subject(s): Foreign exchange | East Asia | Exchange rates | Financial stability | Economic integration | Economic models | Financial crisis   Author's Keyword(s): East Asia | Forex returns | GARCH models | volatility   8. Title: Transmission of Liquidity Shocks: Evidence from the 2007 Subprime Crisis   Author/Editor: Frank, Nathaniel ; González-Hermosillo, Brenda ; Hesse, Heiko   Series: Working Paper No. 08/200   Published: August 01, 2008   Subject(s): Liquidity management | External shocks | Financial crisis | Spillovers | Credit | Banks | Financial institutions | Economic models   Author's Keyword(s): Funding liquidity | market liquidity | subprime crisis | GARCH   9. Title: Common Volatility Trends in the Central and Eastern European Currencies and the Euro   Author/Editor: Pramor, Marcus ; Tamirisa, Natalia T.   Series: Working Paper No. 06/206   Published: September 01, 2006   Subject(s): Eastern Europe | Euro | Exchange rates   Author's Keyword(s): Exchange rate | volatility | GARCH | convergence | Central Europe   10. Title: The Efficiency of the Japanese Equity Market   Author/Editor: Nagayasu, Jun   Series: Working Paper No. 03/142   Published: July 01, 2003   Subject(s): Stock markets | Japan | Economic models   Author's Keyword(s): Nikkei 225 | Afrima | Arfina-Figarch   11. Title: Is Transparency Good for You, and Can the IMF Help?   Author/Editor: Glennerster, Rachel ; Shin, Yongseok   Series: Working Paper No. 03/132   Published: June 01, 2003   Subject(s): Transparency | Fund role | Article IV consultations | Reports on the Observance of Standards and Codes | Special Data Dissemination Standard | Emerging markets | Capital markets   Author's Keyword(s): Transparency | publication | institutions | emerging markets | sovereign spreads | IMF | SDDS | ROSC | Article IV | GARCH   12. Title: Predictive Ability of Asymmetric Volatility Models at Medium-Term Horizons   Author/Editor: Kisinbay, Turgut   Series: Working Paper No. 03/131   Published: June 01, 2003   Subject(s): Capital markets | Forecasting models   Author's Keyword(s): GARCH | high-frequency data | realized volatility | integrated volatility | and asymmetric volatility   13. Title: Foreign Exchange Intervention and the Australian Dollar: Has it Mattered?   Author/Editor: Edison, Hali J. ; Cashin, Paul ; Liang, Hong   Series: Working Paper No. 03/99   Published: May 01, 2003   Subject(s): Foreign exchange | Australia | Intervention | Australian dollar | Exchange rate stability   Author's Keyword(s): Foreign exchange intervention | exchange rate volatility | GARCH modeling   14. Title: Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia   Author/Editor: Chan-Lau, Jorge A. ; Ivaschenko, Iryna V.   Series: Working Paper No. 02/154   Published: September 01, 2002   Subject(s): Prices | United States | Hong Kong SAR | Japan | Malaysia | Singapore | Stock markets | Economic models | Hong Kong Special Administrative Region of China   Author's Keyword(s): Price spillovers | volatility spillovers | asymmetric GARCH models | stock markets | United States | Asia   15. Title: Price Volatility and Financial Instability   Author/Editor: Leon, H. L. ; Worrell, DeLisle   Series: Working Paper No. 01/60   Published: April 01, 2001   Subject(s): Exchange rates | Stock markets | Exchange rate instability | Price stabilization | Economic models   Author's Keyword(s): Volatility | financial instability | GARCH models

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