This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …

-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …

the close analogy between the integrated GARCH (1,1) model for conditional volatility and the IMA (1,1) model for squared … the aggregation results by inferring the aggregate parameter in the portfolio volatility equation from the estimated …

paper offers a solution to this disagreement, suggesting that volatility carries not only a positive direct effect, but also … effect of volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel … a one standard deviation increase of volatility lowers growth by up to 0.52 percentage points in a democracy, but raises …

reflect the different information which have been imbedded in the housing market in the long-time. The high volatility of the …

bubbles, crashes, and volatility are surveyed and a promising direction for future research, based on a theory of short … versus realized volatility, generation of an extreme events line (EEL), and a crash intensity comparison metric. These …

micro-based banking production, enables a contrasting characterization of the two great volatility cycles over the … historical period of 1919-2004, and enables this puzzle to be addressed more easily. The volatility divergence is explained by … the upswing in the credit volatility that kept money supply variability from translating into inflation and GDP volatility. …

A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …