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 …

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

energy demand may create serious challenges in terms of energy security. Adopting sustainable and innovative management …, and the state of the development of renewable, clean and new energy. The paper projects the ACI's energy demand and its …

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 …

In this paper we explore the role that demand uncertainty plays for the offshoring decision, and the role that … offshoring plays for domestic volatility of employment. Offshoring is modeled as in Antràs & Helpman (2004), but we assume … demand. The presence of a cost of firing or hiring as in Bagliano & Bertola (2004) generates an intertemporal element to a …