volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …