aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

volatility. In contrast, demand shocks had the largest impact on these variables before the 1990s. We also document changes in …

particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to …

spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the …

This paper addresses the mechanisms by which trade openness affects growth volatility. Using a diverse set of export … effect of trade openness on growth volatility. Indeed, the effect of openness on volatility is shown to be negative for a …

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of …

producer currency invoicing by eurozone countries is primarily caused by a drop in inflation volatility and can only to a small …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …