uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

(1982), lagged financial uncertainty contains information for the risk of terror events. Estimation results of the negative … Finanzmarktunsicherheit Informationen für das Risiko von Terroranschlägen enthält. Schätzergebnisse eines effizienten Zähldatenmodells …

We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk … stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …