crisis. Within a partial investment model, two kinds of uncertainty are introduced: volatility and disaster risk. The article … uncertainty modeled as Brownian motions. The article provides a comprehensive picture of short- and long-term volatility effects …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …

any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British …

-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes … market and exchange rate volatility, respectively. We find that the financial market volatility indices are usually … volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within …