New fast estimation methods stemming from control theory lead to a fresh look at time series, which bears some … of the volatility with respect to the forecasted trendline, are provided. $\mathcal{Z}$-transform and differential …

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large … our estimation methodology with two empirical examples: the hedge fund losses of August 2007 and the Great Deleveraging …

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …