Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

rise in the volatility of individual components in the capital account, this variability is largely offsetting. Such …

This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New …

than long-term factors. It is also indicated in the paper that stock returns volatility behave as a short-memory process …. Short-memory behaviour of volatility indicates that the effect of a shock to volatility tends to dissipate within a short …

Asset allocation and risk calculations depend largely on volatile models. The parameters of the volatility models are … volatility. The forecasts are compared to the Parkinson Range, an alternative to the Realized Volatility. …

volatility channel, may lead one to erroneously conclude that there is no effect of resources on growth. …

volatility or for VaR 95%, but important differences are observed in periods of high volatility, mainly for VaR 99%. …

in actions. These models deliver promising positive properties, such as heightened inertia and volatility. But they also … raise important normative questions, such as whether the heightened inertia and volatility are socially undesirable, whether …