In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.

This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter is subject to a targeting policy by the Central Bank.

Multi-countru models have not been very successful in replicating features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and loo high. In this paper, we built a multi-country model...