general market volatility to SWF divestment. A headline in Barron's, for example, claimed that “Selling by sovereign wealth …

volatility skew (forward variance). An excellent agreement, in both graphical and regression forms for the scale and patterns of …

This paper presents a methodology to examine the multivariate tail dependence of the implied volatility of equity …-movements of large changes in equity volatility were more likely to occur and responses to extreme shocks became more …

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of … each other's volatility while Germany also plays an important role. Itis found that extreme bad news led to persistent and …