. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …