asset pricing framework. The dependence between price movements and future volatility is introduced through a set of latent …

This paper focus on the problems faced in the empirical investigation of the relation between the level and volatility …

stylised features of volatility in 17 heavily traded bilateral exchange rates. This Power ARCH model nests a number of models …

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The …

A modified gravity-type model was employed to evaluate the effect of exchange rate volatility on wheat exports … long-term measures of exchange rate volatility were constructed and compared. Both measures of exchange rate volatility … exchange rate volatility is an important factor in explaining the trade pattern of wheat worldwide. …