There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …

using some pertinent fundamental independent variables, as well as the World Bank institutional quality indexes and other … proxies for the degree of ambiguity in the sample countries. Some World Bank and other indexes are statistically significant …

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper …

This paper examines the impact of changes in margin requirements on returns, transaction volumes, and price volatility … shift trade to the competing exchange. Price volatility or returns are not systematically affected by changes in margin …