This paper analyzes two indexes in order to capture the volatility inherent in El Niños Southern Oscillations (ENSO … suitable for modelling ENSO volatility accurately, and that 1998 is a turning point, which indicates that the ENSO strength has …

This study examines the intertemporal relationships between CBOE market volatility index (VIX) and stock market returns …

speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from … April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous … effect of decreasing the level of volatility in the EU ETS while impacting its dynamics. These findings are fairly robust to …

volatility of public R&D expenditures in new energy technologies. We develop a highly accurate estimator for public energy R … performance of their energy technology programs by enacting institutional mechanisms that reduce the volatility of public spending …

This paper investigates the effect of commercial, residential property and equity price volatility on the variability … of cyclically adjusted government revenue. We find significant evidence that asset price volatility increases the … variability of government revenue. A 1% increase in equity price volatility increases government revenue variability by 0 …

We analyze both theoretically and empirically, the effect of aid volatility and its interaction effect with … aid volatility on growth is mitigated by stronger institutional quality. We use panel data covering the period 1984 … between growth and aid volatility is significantly negative and depends on institutional quality. Our baseline results are …

Financial time series often undergo periods of structural change that yield biased estimates or forecasts of volatility … the leverage coefficient and the constant can lead to biased and inefficient AR-RV and GARCH-type volatility estimates …. Similarly, we find that volatility forecasts based on AR-RV and GARCH-type models that take into account structural breaks by …