This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

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

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

liquidity risk and characterizes them. Both a solvency (leverage) and a liquidity ratio are required to control the … interpret the 2007 run on SIV and ABCP conduits. -- stress ; crises ; illiquidity risk ; insolvency risk ; leverage ratio …

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 …