A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

increase the volatility of total sales for exporting firms …

This paper presents empirical evidence against the popular perception that macro volatility is exogenous. We obtain tax … effects on macro volatility, explicitly modeling the unobserved variance process. We find a strong empirical link between … taxes and output volatility. Accounting for non-stationarity of taxes and output volatility, we find empirical evidence of a …

previous work to simultaneously include both leakage and volatility. Motivated by discussions on how to reform carbon markets …

According to empirical studies, the life cycle of labor supply volatility exhibits a U-shaped pattern. This may lead to … the conclusion that demographic change induces a drop in output volatility. We present an overlapping generations model … that replicates the empirically observed pattern and study the impact of demographic transition on output volatility. We …

offshoring plays for domestic volatility of employment. Offshoring is modeled as in Antràs & Helpman (2004), but we assume … has a pro-offshoring effect. And 2), under this same condition, offshoring increases volatility in domestic employment of … offshoring firms and the volatility of offshore employment of these same firms is larger than volatility of domestic employment …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

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