than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper … concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to …

provide exact formulae for its asymptotic variance. Simulation results show that our estimator outperforms popular …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data … important determinants of participation, while race is much less important. -- Initial conditions ; missing data ; simulation …

individuals' sleep time exhibits both variability and volatility characterized by stationary autoregressive conditional … young children at home. Volatility is greater among parents with young children, slightly greater among men than women, but … rates. Volatility in sleep spills over onto volatility in other personal activities, with no reverse causation onto sleep …

individual effects on economic growth and volatility using the power-ARCH framework with annual data since the 1890s. The results …

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR …