describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …

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 …

exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …

rise in the volatility of individual components in the capital account, this variability is largely offsetting. Such …

where the exponential volatility specification can include log-ARCH terms, asymmetry terms, volatility proxies and other … explanatory variables, the algorithm we propose returns parsimonious mean and volatility specifications. The finite sample …

-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset …

A significant increase in the level and volatility of many commodity prices over the past decade has led to a debate … level and volatility of commodity prices. The available evidence suggests that while financial investors can affect the … short-run price dynamics for some commodities, the level and volatility of commodity prices appear to be primarily …