, which is defined as the ratio between the realized volatility and trading volume and which refines the popular price impact … measure proposed by Amihud (2002). In our model, both price volatility and market liquidity are assumed to follow stochastic … processes in continuous time. In this setting, characterized by stochastic volatility and liquidity, we prove that the realized …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme …: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In … bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …