I analyze output growth, volatility, and skewness as the joint outcomes of financial openness. Using an industry panel … investment, TFP, and new business creation. The growth benefits of financial liberalization are augmented, and its costs …

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and … volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out …

This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less … democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper …

and their implementation, payment systems and private market structures) and its implications for intraday volatility …, quoting activity, trading volume and bid-ask spreads in the overnight deposit segment. Volatility and spreads increase right … volatility and no signs of market power or adverse selection. Spreads and volatility were high at the end of the reserve …

, we implement the mixture of log-normals model and a volatility-smoothing method. We discuss the time series behaviour of … second main observation is a significant spillover of volatility, as the implied volatility and kurtosis of the DAX RND are … mostly driven by the volatility of US stock prices. JEL Classification: C22, C51, G13, G15 …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

correlations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang transform …, the rise and fall of S&P500 variance futures, predicting volatility using Markov switching multifractal model: evidence …, forecasting volatility via stock return, range, trading volume and spillover effects: the case of Brazil, estimating and …