Autoregressive (SVAR) methodology is applied incorporating realized volatility as an indicator of oil price uncertainty to …

- specifically, volatility clustering effectively captured by a GARCH model - this approach achieves global identification of shocks … while allowing for volatility spillovers across them. Findings reveal that increased variance in aggregate demand shocks …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

currency hedge in the presence of non-constant volatility and correlation. It is shown that implementation of the dynamic …

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …