measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of … has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of …

Using an extensive new data set on U.S. and U.K.-traded closed- end funds, we examine the diversification benefits from … emerging equity markets and the extent of their integration with global capital markets. To measure diversification benefits … significant diversification benefits for the U.K. country funds, but not for the U.S. funds. The difference appears to relate to …

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 …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … trade. The panel data set used includes bilateral observations for five years spanning 1970 through 1990 for 186 countries … same currency. I find a large positive effect of a currency union on international trade, and a small negative effect of …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

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 …