different regimens thereby reflecting the impact of substantial swings in agents’ risk perception on CDS spreads. Overall, our … results confirm the importance of nonlinearities in the pricing of risk derivatives during tranquil and turbulent times …

Debt: The Risk Structure of Interest Rates, 1974) and other similar structural models concerning the intensification of the … returns may reside in the too-big-to fail effect, that is, credit holders receive a subsidy from governments protecting them …

previous research, we model the conditional volatility of the returns in each of the three markets using the asymmetric power … account for asymmetries of return and volatility spillover effects from the US equity market into Canada and Mexico. Unlike … model of Ding, Granger and Engle (1993). The empirical results indicate that volatility spillover effects, but not mean …

period of 1994q32005q2. The results suggest that the real exchange rate volatility and misalignment have depressing effects … volatility proving that the policy-induced changes in exchange rate has a stabilizing effect on trade flows. The implied … elasticity for the most significant real exchange rate volatility coefficient is 0.20. Using a two-step Engle-Granger technique …

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and … structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …

sovereign risk, which may be difficult to overcome. The latter could be kept within limits by financial restructuring towards …

stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns …