Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper discusses the link between financial development and macroeconomic volatility by exploring some of the ways … development exerts an unambiguous effect on macroeconomic volatility. Building on theoretical work related to two different … market volatility is controlled for. …

of linear autocorrelation, volatility clustering), trading volumes (volume clustering, correlation between volume and … volatility), and timing of trades (number of price changes, autocorrelation of durations between subsequent trades, heavy tail in …

heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy …

heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy …

Empirical studies showed that firm-level volatility has been increasing but the aggregate volatility has been … financial development leads to a larger firm-level volatility but a lower aggregate volatility. In addition, our model is also … consistent with the observed decline in volatility of private held firms which do not have (or have only limited) access to …