This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of … international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility … improve the forecasting accuracy of international stock market volatility, especially considering the time-varying regime …

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 …