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 …

volatility functions, although we have to impose some weak regulatrity assumptions. We illustrate the use of the limit theory on …

This paper examines the structural determinants of output volatility in developing countries, and especially the roles … of geography and institutions. We investigate the volatility effects of market access, climate variability, the … market access: remote countries are more likely to have undiversified exports and to experience greater volatility in output …

stochastic volatility model. Specifically, a set of unobserved time-dependent factors, along with an associated loading matrix … series is assumed to follow independent three-parameter univariate stochastic volatility processes. A complete analysis of … truly high dimensional models of stochastic volatility. We apply our methods in detail to two datasets. The first is the …

Recent decades have seen a considerable expansion of global trade and a simultaneous decline in inflation volatility … effect of openness on inflation volatility. This relationship is estimated after controlling for the potential endogeneity of … relationship between openness and inflation volatility is more pronounced in developing and emerging market economies than in OECD …