volatility, it would actually increase domestic price volatility in developing countries, largely by restricting imports when …

. Yet some in this debate haveargued that, given the extreme volatility in agricultural commodity markets, theadditional …

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns … and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices …

We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different … vary across delivery horizons. Further, it is shown thatthe price volatility is higher before the harvest starts in most of … the cases compared tothe volatility during the planting period. These results have implications for hedging …

This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed … nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility … impact on stock volatility following a declining market and ambiguous impact on the stock volatility following a rising …

volatility comparable to the Great Moderation of the 1980s-2000s. This moderation occurred despite a lack of central banks, low …

volatility of the underlying component stocks. Traditional finance theory asserts that futures and "cash" markets are connected … experience significant increase in both trading volume and return volatility. However, deleted stocks experience no significant … change in either trading volume or return volatility. Both daily and monthly return variances increase following index …

) model of the U.S. economy with both stochastic volatility and parameter drifting in the Taylor rule. They use the results of … Moderation. Instead, changes in the volatility of structural shocks account for most of it. Also, although the authors find that … periods is attributed to the time-varying volatility of shocks. The history for inflation is more nuanced, as a more vigorous …

We analyze exchange rate volatility in the Visegrad Four countries in the course of their abandoning tight regimes for … generalized error distribution. The overall findings are that volatility path dependence has a limited effect on exchange rate … developments and introduction of floating regimes tends to increase exchange rate volatility. During the period of flexible regimes …

analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …