Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …

pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M models estimated for the … returns to exhibit volatility clustering; and a significant positive link between risk and returns, which was significantly …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The … controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and …

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility … “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the …