This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable … endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping … between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of …

the crisis-affected economies in East Asia. Using the Hodrick-Prescott filter, this paper examines the growth volatility … and Hong Kong SAR. Empirical evidences based on quarterly data show that output volatility for both Singapore and South … Korea has increased after the AFC. For the GDP components, trade is a major factor in lowering GDP volatility in Chinese …

-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such … interdependence is exploitable for volatility forecasting. The sound contribution of this paper is the extension of the in-sample to … ability of an GJR-GARCH-Model, of the implied and historical volatility, the prediction power of macroeconomic and financial …