suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

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

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 …

. Positive (negative) news have significant positive (negative) effects on stock returns in all cases. Their volatility has a … significant impact on both stock returns and volatility; specifically, an increase in news volatility is always associated with a …

conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …

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

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This “blow-by-blow” narrative is …

Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of …

Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both first and second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …