data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Pakistan, Thailand, and the Philippines, whilst they increase the probability of staying in the high volatility state in the …This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly … bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong …

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 suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …