The International Capital Asset Pricing Model measures country risk in terms of the conditional covariance of national returns with the world return. Using impulse responses from a multivariate nonlinear model we provide evidence of time variation and asymmetry in the measure of country risk....

Evidence suggests that short-term interest rate volatility peaks with the level of short rates, while equity volatility responds asymmetrically to positive and negative shocks. We present an LM based test that distinguishes between level effects and asymmetry in volatility which is robust to the...

There is an extensive theoretical and empirical literature discussing the link between short-term interest rate volatility and interest rate levels. We present an LM based test for the presence of a level effect which is robust to the presence of unidentified nuisance parameter under the null of...