with time-varying loading coeffi cients and stochastic volatility, which allows for capturing changes in the pricing …

Germany’s and the Eurozone’s inflation rates with one exception. At a first glance, it may seem counterintuitive that the …-tations. For 2020, the experts expect 0.7 percent inflation in the Eurozone and a growth rate of real gross domestic product of -4 …

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

As a function of strike and time to maturity the implied volatility estimation is a challenging task in financial … volatility surface (IVS) in a dynamic context, employing semiparametric factor functions and time-varying loadings. Because … financial asset volatilities move over time, across assets and over markets, this paper analyses volatility interaction between …

these models, allows us to study interest rate transmission as well as volatility transmission along the yield curve. Due to … the impulse responses framework to examine the transmission mechanism along both the yield and volatility curves …