model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

13 other countries. First, by looking at the magnitude and the volatility of the changes in the money market rates we …

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

. The emergence of the regime relates to the improvement of the volatility trade-off between inflation and unemployment gap …

model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …

. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …