the asymptotic test distribution when applied to AR-GARCH type residuals obtained through QMLE estimation. To be precise …

volatility of revenues, have failed to save a sufficiently high proportion of their resource revenues and failed to make high …

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of …

volatility into these four sources, quantify their contribution to aggregate volatility, and study how they relate to the stage …, and slowly increases at later stages of development. Third, the volatility of country- specific macroeconomic shocks falls … with the level of development. We argue that many theories linking volatility and development are not consistent with these …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …

include the US and a European (E15) aggregate. In relative terms, the conditional volatility of E15 growth has declined more … since 1980 than the well-documented decline for the US. The propagation of shocks has also changed, with the volatility and … propagation effects separated by applying shocks of pre-1980 magnitude to VARs estimated over various periods. Rolling estimation …