interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …

We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The … heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally …