This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

nothing if it loses. We study a model of war with such an asymmetric payoff structure, and private information about military … win the war unless its expected military technology is considerably worse. Our model may thus explain why defending …

Although the relationship between natural resources and civil war has received much attention, little is known about …

to go to war with each other, even after controlling for a wide set of measures of geographic distance and other factors …

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 …

volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in …