volatility as well as the U.S. economy. We find that - even after accounting for these factors - oil price uncertainty still has … confirms these results. Finally, significant spillover effects in the GARCH model suggest that oil price volatility is a gauge …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

This paper examines whether macroeconomic instability can influence stock market volatility in a sample of 5 emerging … discordant from one country to another, but when a dynamic panel GMM is estimated, exchange rate volatility is found to be the …

further developed by Engle and Kroner (1995)) to examine the return and volatility spillover between India and four leading … correlation and volatility transmission across the pre- and post-2008 global financial crisis periods (apart from other … developing countries. The result further shows a clear distinction in terms of volatility spillover between the Asian market vis …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …

We derive and empirically test a theoretical link between exchange rate volatility and global equity correlations … equity portfolio volatility, and portfolio optimization …

The paper examined the effect of macroeconomic variables on the volatility of conventional and Islamic indices. The … macroeconomic variables included economic uncertainty index, federal funds rate, money supply, volatility fear index, consumer price …

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …