-end varieties is likely to affect its export growth and volatility. We show that a higher sensitivity to per capita income tends to … increase the volatility of high-end variety exports. However, a lower sensitivity to distance reduces volatility through a …

question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have … volatility time series. The approaches that are summarized in this discussion paper propose various specification for this time …

Chapter written for the Handbook of Volatility Models and their Applications, edited by Luc Bauwens, Christian Hafner …, and Sébastien Laurent, forthcoming in 2012 (John Wiley & sons). This chapter presents an introductory review of volatility …

volatility through time. The advocated methodology avoids typical orthogonalization and ordering problems. Theoretical properties … of volatility impulse response functions are derived and compared with conditional moment profiles introduced by Gallant … use volatility impulse response functions to compare alternative parametric volatility specifications. It is shown that …