long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in … estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model … volatility risk. However, there is no consensus on the premium for market volatility risk. It can be positive or negative. The …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …

The last three decades have witnessed a spectacular integration of the world economy. On the one hand, the impact of …

Countries around the world continue to tax corporate income at significant rates despite downward pressures from …-setting: small countries, facing elastic supplies of world capital, taxed corporate income at significantly lower rates than did …