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

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model … suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms' export intensity. We also uncover evidence consistent …

problematic than in equity markets due to the lack of a passive investment strategy and the multitude of alternative formulations …