generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory … volatility during the 7-year total examined time period. Splitting the time series into 3 individual sub-periods the results … conditional volatility during financial crises. Furthermore, announcements of GDP and ZEW index calm the exchange rate …

forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian … stochastic volatility innovations and (2) strategies based on combined forecasts yield large economic gains over the random walk …

great volatility regarding the response of Bitcoin to a shock of STOXX50. The Granger causality test was constructed to …

An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …