We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series … 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 …

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …