, with technical analysts conditioning their forecastingrule upon deviations from a benchmark fundamental. Volatility …

expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

volatility of aid on economic growth, controlling for the level of aid. A four-year panel analysis is conducted encompassing 155 … countries over the period 1966-2001. We find that once the volatility of aid is controlled for, aid has a positive impact on … economic growth. Correspondingly, volatility of aid flows is found to be negatively related to growth. We found no significant …