This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

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 …

misaligned exchange rates, appear to have suffered more macroeconomic volatility and also grown more slowly during the postwar … more ‘extractive’ institutions from their colonial past were more likely to experience high volatility and economic crises … appear to have only a minor impact on volatility and crises. This suggests that distortionary macroeconomic policies are more …