This paper investigates the impact of nominal and real effective exchange rate volatility on exports of six Middle … measures of volatility for each country. The cointegration results indicate a significant relationship, negative for four … exchange rate volatility. The short run dynamics, using an error correction model, shows that the Granger, causality effects of …

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

Modelling, monitoring and forecasting volatility are indispensible to sensible portfolio risk management. The … volatility of an asset of composite index can be traded by using volatility derivatives, such as volatility and variance swaps …, options and futures. The most popular volatility index is VIX, which is a key measure of market expectations of volatility …

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

volatility of natural gas futures prices. We also investigate whether the variance of the survey estimates has a significant … influence on the futures price volatility. We find that volatility is higher on announcement days, especially when gas … inventories are lower than expected. The magnitude of the surprise also has a significant impact on volatility on announcement …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …