This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … ""stock market correction"" period. There is also evidence of structural breaks in the stock price and volatility dynamics …

While the relationship between volatility and credit risk is central to much of the literature on finance and banking … estimates for a panel of 25 emerging market countries over 1970-2001, breaking down aggregate volatility into its external and … domestic policy components. We find that countries with historically higher macroeconomic volatility are more prone to default …

high frequency. The model yields predictions on biweekly patterns of the federal funds rate’s volatility and on its …. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

This paper compares the pattern of macroeconomic volatility in 17 Latin American countries during episodes of high and … low growth since 1970, examining in particular the role of policy volatility. Macroeconomic outcomes are distinguished … policy volatility is associated with lower growth, but fiscal policy procyclicality is not. Low levels of market …

This paper examines the impact of trade costs on real exchange rate volatility. We incorporate a multi … exchange rate volatility depends on relative technological differences and trade costs. These differences highlight a new … volatility. We then test the importance of this channel using a large panel of cross-country data over 1970-97, and find strong …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …