-varying parameter models that incorporate both stochastic volatility and a Heckman-type two-step estimation procedure that deals with …

This paper proposes an empirical model which can be used to estimate the impact of changes in the volatility of shocks … to US real activity on the UK economy. The proposed empirical model is a structural VAR where the volatility of … estimate that a one standard deviation increase in the volatility of the shock to US real GDP leads to a decline in UK GDP …

stock volatility, empirically validating key economic mechanisms often assumed in consumption-based asset pricing models …

the NARDL error correction model (ECM). The OLS estimation provides a reliable inference notwithstanding the variables …

evaluates the performance of the models. The probit model with the industrial production index and the realized volatility as …

estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We … show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate … temperatures, a +1oC increase in temperature volatility causes on average a 0.9 per cent decline in GDP growth and a 1.3 per cent …

volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process …. In so doing, we employ GARCH-M and ARCH-M specifications of the process describing output growth rate and its volatility … with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no …

This study examines the relationship between U.S. output growth and its volatility over the period 1875:Q1 to 2008:Q2 … breaks in the growth rate and its volatility. In so doing, we employ autoregressive generalized conditional … growth rate and its volatility with and without structural breaks in the mean and volatility processes. We discover one break …