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 …

implies that appropriate energy policies should be adopted to reduce risk. …

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 …

This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment … quantitative heterogeneous firm model calibrated to match the survey evidence, firms' concern with tail risk makes fiscal policy …

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