market by applying the quantile regression theory and using daily data from January 4th, 2000 to July 4th, 2016. The authors …

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 …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …