-t distributed innovations as well as time-varying volatility. Meaningful restrictions are imposed to the model parameters, so as to …

volatility in ifln ation raises unemployment at low-frequency. Increased volatility in infl ation makes nominal wages more … guarantee the equilibrium in the labor market. The positive long-run co-movement between unemployment and infl ation volatility …

estimation methods. Specifically, we employ VAR models with drifting parameters and stochastic volatility which are used to …

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

This study investigates the effects of oil price shocks on volatility of selected agricultural and metal commodities … functions, the response of volatility of each commodity to an oil price shock differs significantly depending on the underlying …

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …