sharing of risk. A currency's risk depends not only on its size or output volatility, as has been studied in previous models …, but on the volatility of demand for its goods by trade partners. How global risks are shared among investors determines …

-established linearization property under the large-volatility limit of the median, a universal white-noise approximation, and novel Machine …

-country demand for goods causes exchange rate volatility to rise as the exchange rate falls, giving the impression of a negatively …

more diffusive fashion. We construct a tractable multifactor, stochastic volatility term structure model which incorporates …

vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

volatility of individual stock returns and exchange rate returns. …

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …

methods. The effects ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance …