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October 22, 2014

The search found 15 of 12865 documents sorted by Date with the following criteria:
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 1, 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 1, 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: 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 1, 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

 

4.

Title: What Drives China's Interbank Market?
Author/Editor: Porter, Nathaniel John ; Xu, TengTeng
Series: Working Paper No. 09/189
Published: September 1, 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

 

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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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 1, 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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