This paper aims to select the best model or set of models for modelling volatility of the four most popular … cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the … exchange rates of each of these cryptocurrencies to estimate a one-step ahead prediction of Value-at-Risk (VaR) and Expected …

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 …

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 …

We study business uncertainty in high- versus low-volatility environments by surveying over 31,000 managers across 41 … their mean absolute deviations. Analogously, we measure realized volatility using absolute forecast errors. We establish two … new facts. (1) Subjective uncertainty and realized volatility both decline with GDP per capita. (2) Managers underestimate …

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

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

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 …

rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

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 …