vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into … and increases the hedging costs of producers and processors of oil when volatility is high. …

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of …

This paper uncovers ongoing trends in idiosyncratic earnings volatility across generations by decomposing residual …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used … in applications in this context. This study reviews the different volatility models and points out their advantages and …

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … probability Markov-switching model. We find that net equity (bond) inflows drive the exchange rate to a high (low) volatility … state. In particular, net bond inflows increase the probability of remaining in the low volatility state in the case of …

data ; long memory ; volatility persistence ; structural breaks …