of volatility through time. We are particularly interested in understanding whether periods of high volatility spillover … across countries. Our analysis relies both on univariate and bivariate switching volatility models. Our results indicate that … high-volatility episodes are, in general, short-lived, lasting from two to seven weeks. We find some weak evidence of …

efforts, several structural sources of volatility remain, and new ones have emerged as a result of the new and otherwise …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

We explore the implications of asset price volatility for the management of monetary policy. We show that it is …

typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH …

This paper investigates the sources of terms of trade volatility, specifically addressing the relative importance of …

central banks in the absence of any formal arrangements among their governments to limit exchange rate volatility. The … advocates of the proposals for change have made their assessment of the global costs of exchange rate volatility and (their …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

suffered most increases in output volatility as a result …