increased stock price volatility at the firm level …

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the ….The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility …

decline in real exchange rate volatility, 2) significant changes in cross-country correlations, and 3) the volatility of … domestic shocks less important in accounting for the (unchanged) volatility of macroeconomic fundamentals. -- European business …

This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model …, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results when including a …) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area …

This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility …) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area … when compared to unanticipated shocks. -- Anticipated Shocks ; Business Cycles ; Volatility …

return volatility. The model significantly improves prediction of the state of the economy using fully revised data. Real …

this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the … stock volatility increases (reduces) with fundamental (information) uncertainty during both recession and expansion, but the …