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This document offers an overview of analytical properties of volatility control indices,including the statistical bias, comparing various volatility estimators and the impact of stochastic interest rates on long-dated volatility target indices
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We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on economic activity and welfare. In the first part of the paper, the GARCH-SVARmodel is applied to measure empirically the effect of the conditional exogenous exchange rate...
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