following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …

Does distance matter for the volatility of international real and financial transactions? We show that it does, in …

with time-varying loading coefficients and stochastic volatility, which allows for capturing changes in the pricing …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to …