efforts, several structural sources of volatility remain, and new ones have emerged as a result of the new and otherwise …

demonstrate that although international capital movements and financial volatility can play a role in destabilizing the economy is …

-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVS_t is high when …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a … regional level based on foreign ownership at the firm level. We find a positive effect of foreign ownership on volatility of … higher levels of financial integration and volatility …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …