We model the impact of financial conditions on asset market volatilities and correlations. We extend the Spline-GARCH model for volatility and DCC model for correlation to allow for inclusion of indexes that measure financial conditions. In our empirical application we consider daily stock...

We study the relationship between order flow and volatility. To this end we develop a comprehensive framework that simultaneously controls for the effects of macro announcements and order flow on prices and the effect of macro announcements on volatility. Using high-frequency 30-year U.S....

We extend the class of dynamic factor yield curve models in order to include macroeconomic factors. Our work benefits from recent developments in the dynamic factor literature related to the extraction of the common factors from a large panel of macroeconomic series and the estimation of the...