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 …

highlights the fact that high exchange rate volatility may as well signal high costs for labor markets. The impact of exchange … rate volatility on labor markets in the CEECs is analyzed, finding that volatility vis?- vis the euro significantly lowers … employment growth. Hence, the elimination of exchange rate volatility could be considered as a substitute for a removal of …

In this paper, a survey on theoretically expected and empirically proved impacts of exchange rate volatility is given …. With regard to the West German unemployment, the effects of volatility are empirically analysed using three different … volatility measures and four country groups. In autoregressive models, a significant disturbing impact of volatility can be found …

What is the relationship between economic growth and its volatility? Does political instability affect growth directly … or indirectly, through volatility? This paper tries to answer such questions using a power-ARCH framework with annual … legislative changes) has an indirect (through volatility) negative impact. We also find preliminary support for the idea that …

This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … period 1967-2001. Our results suggest that the choice of an estimation procedure has a substantial impact on the parameter … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects …

Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking …This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of …