This paper attempts a re-examination of the relationship between the output volatility and economic growth using an … integrated (HFI) and low financially integrated (LFI) country groups. Overall, the results indicate that output volatility as a … proxy of macroeconomic volatility has negative effect on economic growth. The results appear to be stronger when we include …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows …

Using positive semidefinite supOU (superposition of Ornstein-Uhlenbeck type) processes to describe the volatility, we … introduce a multivariate stochastic volatility model for financial data which is capable of modelling long range dependence … effects. The finiteness of moments and the second order structure of the volatility, the log returns, as well as their …

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous … volatility models. We analyze the distributional properties of the jump measures vis-à-vis the corresponding realized volatility … accuracy of high-frequency volatility models …

This paper presents an analysis of the dynamic measures of volatility connectedness of major bank stocks in the US and … direction of the volatility connectedness was from the US banks towards the EU banks. However, once the financial crisis became … global in the last quarter of 2008, volatility connectedness became bi-directional. The surge in volatility connectedness …

aggregate shocks. Volatility spillovers proved to be small and volatile. …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts. -- Contagion ; Herd …