In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …

issue by characterizing the conditional and unconditional distributions of the realized volatility for the 2008 futures … volatility measures from naive, kernel-based and subsampling estimators are used to obtain inferences about the distributional … and dynamic properties of the ECX emissions futures volatility. The distribution of the daily realized volatility in …

from policy actions at home and abroad that add to the significant macroeconomic volatility that is already created by …