the multivariate factor stochastic volatility (MSV) model, which is extremely efcient for fnancial market analysis and …

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

, stock market volatility, and geopolitical risks. In particular, our aim is to determine whether these forms of uncertainty … volatility, which impact negatively in share prices, both in the short and long term. Regarding Brazil, the global uncertainty in …

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model … consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive Gamma process. We construct a …

factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …

) recessions, international political crises, country risk, and uncertainty related to government policies. While we find that … return dispersion and implied volatility are correlated, surprisingly only return dispersion relates to the cross section of … returns. Return dispersion seems to capture political uncertainty better. Implied volatility seems linked stronger to economic …