with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that … there is a positive relationship between the volatility and death tolls. Second, while in the short term the sizable … volatility have a negative relationship. Finally, the monetary policy and the volatility have much stronger coherency than the …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con … ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …