This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate … ; Stochastic Volatility ; Time Varying Vector Autoregression …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

This paper focuses on the role of real exchange rate volatility as a driver of portfolio home bias, and in particular … model in which real exchange rate volatility induces a bias towards domestic financial assets as well as a stronger home … bias for assets with low local currency return volatility. We find empirical support in favour of this hypothesis for a …