This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …

volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be … volatility and persistence. The evidence shows that such measures far outperform those based on either volatility or persistence …

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure … relationship between clarity and market volatility prior to and during the early stage of the global financial crisis. As the …

volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers … emerging markets effective protection against excessive volatility. …