We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

and beyond the determinants of currency invoicing (i.e., inflation rate, inflation volatility, foreign exchange market … by a drop in inflation volatility …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

This paper compares volatility forecasts for the RTS Index (the main index for the Russian stock market) generated by … alternative models, specifically option-implied volatility forecasts based on the Black-Scholes model, ARCH/GARCH-type model … information content). Various forecasting performance tests are carried out which suggest that both implied volatility and …