This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

-run demand shocks. In this setup, the volatility of a firm's exports depends not only on the diversification of its destination … destinations makes the firm more likely to export occasionally to some markets, thereby raising volatility. These results cast … doubt on the commonly held belief that diversification must decrease volatility …

offshoring plays for domestic volatility of employment. Offshoring is modeled as in Antràs & Helpman (2004), but we assume … has a pro-offshoring effect. And 2), under this same condition, offshoring increases volatility in domestic employment of … offshoring firms and the volatility of offshore employment of these same firms is larger than volatility of domestic employment …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

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