: domestic, external, and institutional factors. In addition, I consider the connection between volatility and bond yield spreads …. Volatility, and central bank transparency, are two factors common to all countries examined whereas clear idiosyncrasies are …

Nowadays, volatility of crude oil price is one of the important developments which are followed by experts with care … this amount is imported. The aim of the study is investigate whether the series of crude oil price shows volatility, if it … shows the structure, size and continuity of volatility. Besides, for these economical variables, best intervention model …

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

autoregressive conditional heteroskedasticity (GARCH) model. Trend and volatility are estimated jointly with the maximum likelihood …

estimates of volatility, we present an application dealing with Value-at-Risk (VaR) prediction at different sampling frequencies … factor in the portfolio volatility equation from the estimated vector IMA(1,1) model of squared returns. Empirical results …

volatility in real per capita GDP growth. It incorporates 97 countries and 2404 observations. It also employs a system GMM … that regional free trade agreements will not increase volatility in most cases, and may actually lower it. In only one out … of the seven agreements explored is volatility larger after the implementation of the agreement. Furthermore, the role …