modelling and forecasting volatility over both short and long horizons. As an illustration, we use the cyclical volatility model … to generate out-of-sample forecasts of exchange rate volatility for horizons of up to one year under the assumption that … the long run trend is fully persistent. As a benchmark, we compare the forecasts of the cyclical volatility model with …

This paper analyzes the effects of different labor market institutions on inflation and output volatility. The eurozone … could account for volatility differences across member states, but labor market characteristics have remained very diverse … significant negative effect on output volatility, while replacement rates have a positive effect, both of which are in line with …

This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the … time-varying volatility of U.S. aggregate data. Of special interest to the authors is understanding the sources of the … issue, the authors build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility …

transition from the former to the latter. With respect to the volatility transmission from interest rates to exchange rates and …

variation in the stochastic volatility. On implementing the new estimation procedure with actual high-frequency data for the S …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

United States. Furthermore, we find that bans on covered short sales generally succeeded in lowering volatility. Banning …

We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and … their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the … overall amount of volatility in GDP growth. There is also a strong correlation between a country's average growth rate and the …