Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2018
. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a "real" and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …