returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My … significant and large economically. On average, global equity market valuations correct by about 20% in the month when a shock …

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism …

sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further …

We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme …

a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …