standard volatility models such as the GARCH(1,1) are more accurate …

We document asymmetric networks of implied volatility spillovers across global stock and commodity markets as well as … the US Treasury market. There are significant asymmetries in the roles of US stock and bond markets as volatility … suppliers to other countries and markets. Shocks from the US generate intensifying volatility spillovers across countries and …

significant volatility clustering. Furthermore, this study puts forward sudden slumps and spikes in the conditional covariances …

Several large volatility matrix inference procedures have been developed, based on the latent factor model. They often … assumed that there are a few of common factors, which can account for volatility dynamics. However, several studies have …-specific factors explain their own country's volatility dynamics. To account for this, we propose the Double Principal Orthogonal …

challenge for economists. The International Monetary Fund proposes within its periodic World Economic Outlook report a measure …-frequency information. Pseudo real-time results show that this approach provides reliable and timely nowcasts of the world GDP annual growth …

, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for … inflation stochastic volatility is indeed important, and a substantial share of it can be attributed to a global factor that …

This study compares two channels for global impact on local volatility: the direct channel in which global variables … affect the expected value of local volatility but not its persistence, and a new channel in which global variables affect … local volatility by changing its persistence over time. The economic importance of each channel is measured by its …