financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and … volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out …

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

volatility in more credit constrained firms. …

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …