Engle, R.F., Ito, T. and Lin, W.L. (1990). "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market". Econometrica, 58, 525--542.  Home/Search   Document Not in Database   Summary   Related Articles   Check

....on multivariate volatility measures. By means of a dynamic version of the Capital Asset Pricing Model (see Bollerslev, Engle and Wooldridge (1988) Hafner and Herwartz (1998) investigate news sensitivity of single asset betas for the German stock market. Analyzing global volatility transmission Engle, Ito and Lin (1990) found evidence in favor of volatility spillovers between the worlds major trading areas occurring in the sequel of floor trading hours. For these reasons volatility clustering observed for financial time series may be better understood within a multivariate context. To analyze time varying ....

Engle, R.F., Ito, T. and Lin, W.L. (1990). "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market". Econometrica, 58, 525--542.

....within a single financial market series has received attention via the application ofGARCH. 1 Another approach is to study volatili ty transmission between locations (particularly for currencies and international stock indices) and between stock index futures and cash indices. For example, Engle, Ito and Lin (1990) examine currency volatility transmission by applying GARCH methodology to the daily open and close yen dollar spot rate in Tokyo, London, and New York. They conclude that volatility is transmitted from one location to another (volatility acts like a meteor shower ) rather than volatility only ....

Engle, R.F., Ito, T., and Lin, W., "Meteor Showers or Heat Waves? Heteroskedastic Intra Daily Volat ility in - 13 - the Foreign Exchange Market." Econometrica, Vol. 58 No. 3 (May 1990), pp. 525-542.

.... fat tails, as documented by, for example, Jorion (1988) Akgiray and Booth (1988) Bates (1996) and Bekaert, Erb, Harvey and Viskanta (1998) Two, these jumps in returns tend to occur at the same time across equities in di#erent countries, for which a variety of explanations have been o#ered by Engle, Ito and Lin (1990), King and Wadhwani (1990) and Harvey and Huang (1991) 1 One contribution of our work is methodological. We provide a mathematical model of security returns that captures the stylized facts about international equity returns described above. We do this by modeling security returns as a ....

....six international equity indexes. We find that there are substantial di#erences in the portfolio weights across regimes. Moreover, the portfolio weights based on the average likelihood of jumps in asset returns are also very di#erent from those conditional on the actual regime. Based on a 1 Engle, Ito and Lin (1990) provide evidence that connected shocks across international stock markets are largely the result of information transmission. They test for whether changes in volatility in one market cause changes in volatility in other markets, too. They liken this to a meteor shower as opposed to localized ....

Engle, R.F., T. Ito, and Wen-Ling Lin. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Day Volatility in the Foreign Exchange Market," Econometrica, 1990, v58(3), 525542.

.... and Sims (1984) to nonlinear systems, and conditional volatility profiles oe 2 j (y GammaL ; y Gamma1 Delta) E [Var(y k;j jy j GammaL ; y j Gamma1 )jy GammaL ; y Gamma1 Delta] j = 0; J which extend the volatility impulse response profiles of Engle, Ito, and Lin (1990) and Bollerslev and Engle (1993) to nonlinear systems. Plots of the conditional mean profile reveal the future dynamic response of system forecasts to a contemporaneous shock to the system. These will, in general, be nonlinear and can differ markedly when the sign of ffi changes. Similarly for ....

Engle, Robert F., Takatoshi Ito, and Wen-ling Lin (1990): "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58, 525--542.

....volatilities. Thus, not only do the two exchange rates tend to move together, as indicated by the positive means for cov t and corr , but also their volatilities are closely linked. Explanations in terms of volatility spillovers have been explored in a series of papers initiated by the work of Engle, Ito and Lin (1990) and Ito, Engle and Lin (1992) Of course, such a positive relation would be expected under the stylized multivariate continuous time 20 In order to quantify more formally this volatility effect in correlation, we also experimented with various non parametric regressions. For instance, in the ....

Engle, R.F., T. Ito and W.L. Lin (1990), "Meteor Showers or Heat Waves? Heteroskedastic Intraday Volatility in the Foreign Exchange Market," Econometrica, 58, 525-542.

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Engle, R., Ito, T., and W.L. Lin (1990) "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58 , 525-542.

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