This paper examines the intraday changes of gold and crude oil implied volatility around the release of FOMC statements …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have … researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of …

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 …