"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …

This paper estimates standard and extended Taylor rules for core countries in the euro area, namely France, Germany and …

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

herkömmlichen Theorien. Diese Frage kann positiv beantwortet werden mit einer interessanten Interpretation von Volatility-Smiles als … Ergebnis aggregierter Volatility-Skews. Der Band richtet sich sowohl an Wissenschaftler als auch an Fachleute in Banken und …