return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long …;Great Moderationquot; can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility … idiosyncratic component of firms' real sales growth from macroeconomic developments. Our paper has three main findings. First, time …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …

including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as …