the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia … (2008) to gauge the causal relations between volatility changes in the two assets. We also apply the tests for change of co …

This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model … with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility … a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When …

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid …-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account …

focuses on the effects of a currency union on exchange rate volatility following similar approach by Scrimgeour (2002 …: Australia, New Zealand, USA and Japan. The main findings showed that both short-term and cyclical exchange rate volatility are … currency baskets. Choosing a single common anchor currency based solely on exchange rate volatility may not be conclusive …

-dependent volatility that is similar to that of the real exchange rate itself. …