model the dynamics of money supply in Germany. Additional analysis with regard to the influence of financial innovations on …

structural breaks in the dynamics and the volatility of the real output process in Germany can be detected. We report evidence … that output volatility has declined in Germany. Yet, this decline in output volatility is not as clear-cut as it is in the …Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and …

rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov …-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

observed that the volatility shocks are quite persistent and take a long time to die out. September 11, 2001incident and … thereafter war on terror has increased the conditional volatility of foreign direct investment and has statistically significant … volatility. One interesting finding of this study is that the impact of Non-Democratic regime before September, 11 scenario is …

describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

Das in Finanzmarktdaten zu beobachtende volatility-clustering impliziert, daß große Renditeschocks bei der Preisbildung …The volatility clustering observed in financial market data implies that large net yield shocks increase the … probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …

accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …