Raúl Susmel
Biographic Data
| ID | 6446994 |
|---|---|
| NAME | Raúl Susmel |
| GIVEN NAMES | Raúl |
| FAMILY NAME | Susmel |
| SIGNATURE | SUSMEL R |
| AFFILIATIONS | University of Houston |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 2 |
| AUTHOR COUNT | 3 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1993 |
| LATEST PUBLICATION YEAR | 2003 |
| H-INDEX | 1 |
Interest-Rate Volatility in Emerging Markets
We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that hi…
Volatility dependence and contagion in emerging equity markets
Common Volatility in International Equity Markets
In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility
Common Volatility in International Equity Markets
In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility
Volatility dependence and contagion in emerging equity markets
Interest-Rate Volatility in Emerging Markets
We use high-frequency interest-rate data for a group of Latin American and Asian countries to analyze the behavior of volatility through time. We focus on volatility comovements across countries. Our analysis relies on univariate and bivariate switching volatility models. We compare the results from the switching models with those from rolling-standard-deviation models. We argue that the switching models are superior. Our results indicate that hi…
Econometrics (3 works) · Economics (3 works) · Financial economics (3 works) · Financial Risk and Volatility Modeling (3 works) · Implied volatility (3 works) · Volatility smile (3 works) · Volatility swap (3 works) · Bivariate analysis (2 works) · Emerging markets (2 works) · Forward volatility (2 works)