volatility stabilization mechanism. We illustrate them via utility-based metrics that reward the tail-risk reduction emanating …

variables to be incorporated in a statistical manner as inputs to forecasting models that can then be used to obtain risk … covariances. We propose a novel generalised multi-factor forecasting structure utilizing a covariance regression model which … idiosyncratic error terms. We argue that such a modelling approach allows for more explicit relationships to be interpreted between …

the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series … assumption, this paper shows there is usually little, if any, endogenous variation in output uncertainty, and first moment shocks … uncertainty compared to the data. Estimating several variants of a nonlinear real business cycle model reveals the data strongly …

learning into a standard monetary model. Agents use simple forecasting rules based on a restricted information set. They learn … about the parameters and performance of different models and can switch between forecasting rules. We compute the implied …

learning into a standard monetary model. Agents use simple forecasting rules based on a restricted information set. They learn … about the parameters and performance of different models and can switch between forecasting rules. We compute the implied …

This paper proposes a simple analysis for examining an agent's optimal decisions in a principal-agency problem. Unlike … impacts of different types of uncertainty and illustrate several cases in which the agent may respond to incentive contracts …