This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

suggests that asymmetry is a general feature of fiscal shocks. The gradual smooth reduction in the public debt to GDP ratio is …

The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using … exposures in loans and equities have declined. Shock simulations reveal that the vulnerability of the financial sector to the …

extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic … global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact …

reduced bond yields but have somewhat increased yield volatility in the post-Lehman period. Econometric analyses conducted …, foreign holdings are greatly associated with increased yield volatility. A case study using Poland data elaborates on the …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … than other rules, such as fixed-volatility rules. The empirical methodology is backtested on Banco Mexico's FXIs data …

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …