This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … tries to provide new evidence for tail risk in stock market volatility prediction … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility …

with the entire world. The implications of this process have attracted interest of researchers and monetary policy … proposed in this study is a time-varying vector autoregressive model with stochastic volatility estimated using the Metropolis …

’s level of integration in the world economy through the full architecture of its second, third, and all other higher …-order connections in the world trade network. We apply our methodology to a sample of 204 countries spanning the period from 1962 to …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …