Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … situated in the second half of 1980s and the first half of the 1990s.Increased trade integration, equity market development … volatility. …

, which may be due to an increase in the trade openness of the countries involved. …

examines exchange-rate pass-through and external adjustment in the euro area. The impact on third-country trade and investment …

of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a …-based real exchange rate and commodity terms of trade. The estimated impact of productivity growth differentials between traded …