unions to estimate the effect of currency unions on trade using (then-) conventional gravity models. In this paper, we use a … variety of empirical gravity models to estimate the currency union effect on trade and exports, using recent data which … a smaller trade effect than other currency unions; it has a mildly stimulating effect at best. Third and most …

Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than … focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting … functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized …

further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market …

dampening effect on trade volatility …I examine the hypothesis that membership in the World Trade Organization (WTO) and its predecessor the General … Agreement on Tariffs and Trade (GATT) has increased the stability and predictability of trade flows. I use a large data set …

short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike … shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts … of market volatility and elude standard asset pricing models …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally … alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

This paper shows that proximity to major international financial centers seems to reduce business cycle volatility. In … experience more volatile growth rates in both output and consumption, even after accounting for political institutions, trade …