domestic volatility after good shocks but a bad hedge after crashes …

three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …

in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …

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

find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term … Structure Models ; Stochastic Volatility ; ARCH …

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …

euro. At the end of our estimation period, the previous exchange rate movements had shifted the upper bound of the play …

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …