error.  Under stochastic volatility the resulting QML estimator is positive semi-definite, uses all available data, is …

capital-scarce resource exporter.  I show that capital-scarce countries should still establish a Volatility Fund, but it …) Build a Volatility Fund quickly, then leave it alone;  iii) Invest to stabilise the real exchange rate. The remaining four … improve absorption, vi) Invest part of the Volatility Fund domestically; and vii) Support private investment. …

High frequency financial data allows us to learn more about volatility, volatility of volatility and jumps.  One of the … estimates time-varying volatility robustly to jumps.  We improve the scope and efficiency of multipower variation by the use of … first nonparametric high frequency estimator of the volatility of volatility.  A fundamental device in the paper is a new …

information that underpin current models of risk pooling. A specially designed economic experiment involving 678 subjects across … attempts to conduct such tests. I find that more extrinsic commitment is associated with more risk pooling, but that more … information is associated with less risk pooling. The first of these results accords with our expectations and assumptions. The …

face uninsurable labour income risk. Idiosyncratic uncertainty about future labour income reduces the marginal propensity …

Banks create excessive systemic risk through leverage and maturity mismatch, as financial constraints introduce welfare … required.  Optimally, macroprudential policy reacts to changes in systematic risk and credit conditions over the business cycle …, while microprudential policy reacts to both systematic and idiosyncratic risk. …