In this paper we investigate short-run co-movements before and after the Lehman Brothers’ collapse among the volatility series of US and a number of European countries. The series under investigation (implied and realized volatility) exhibit long-memory and, in order to avoid...

The empirical analysis carried out in this paper represents the basis for the construction of the labour market module in the dynamic microsimulation model CAPP_DYN. Using LFS longitudinal data for the period 1993-2007, we describe the recent trends on the Italian labour market and provide an...

The empirical analysis carried out in this paper represents the basis for the construction of the labour market module in the dynamic microsimulation model CAPP_DYN. Using LFS longitudinal data for the period 1993-2007, we describe the recent trends on the Italian labour market and provide an...

In this paper we use the Diebold Yilmaz (2009 and 2012) methodology to construct an index of connectedness among five European stock markets: France, Germany, UK, Switzerland and the Netherlands, by using volatility risk premia. The volatility risk premium, which is a proxy of risk aversion, is...