economic and financial crises: variation and volatility of both gold prices and nominal exchange rates, as well as current … affected by the turmoil. Second, we find that country-specific high level of both inflation and exchange rates volatility could …

This paper proposes a new ‘World Volatility Index’, coined WVIX, by constructing the first index that approximates the … aggregate volatility level of the G20 countries. The empirical analysis makes use of the factor dynamic conditional correlation … the implied volatility indexes belonging to the US, the UK, the Eurozone, Japan and emerging countries, and (ii) examine …

the dynamic of credit spreads and performs well in terms of out-of-sample volatility forecast. From the structural models …