and output volatility on the relationship between trade and economic growth. Design/methodology/approach – The … trade-adjusted GDP growth is robust even after controlling for the effects of income and export volatility. In addition …, neither trade nor GDP volatility bears any impact on the bi-directional causality between imports and unadjusted GDP growth …

fractional integration estimates also for squared returns of the index. Volatility of returns and squared returns increases …

this paper is to analyze the Romanian Capital market volatility inside a GARCH framework in order to identify the …-post volatility measurements. In the process of structuring the portfolio, a key variable is the global volatility. The objective of …

aggregate output across industrial sectors which minimize the economy’s long-term volatility for a given level of long …

Decomposition methods of a portofolio volatility: a new approach for risk estimations using the Gini index The … assimilated to a volatility measure in order to obtain a new ratio of financial risk. We use another measure that is the …

foreign capital experiences wider welfare swings by external volatility shocks than the one with foreign debt alone, while the … welfare effects from domestic volatility shocks are mitigated. The welfare effects of fiscal shocks are much smaller with both …

intraday volatility measurements and implied ones obtained from options market (VIX). For that we propose the use of intraday … information to estimate volatility for the cases where the stock markets do not have an associated option market. …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …