For the purpose of developing alternative approach for forecasting volatility, we consider heterogeneous VAR (HVAR …

Although the volatility of house prices is often ascribed to demand-side factors, constraints on housing supply have … important and little-studied implications for housing dynamics. I illustrate the strong relationship between the volatility of … investigate the mechanisms underlying this relationship. I find that supply constraints increase volatility through two channels …

The use of GARCH models is widely used as an effective method for capturing the volatility clustering inherent in … that the latter method is better if interest centers on volatility and value-at-risk prediction. New volatility measures …

This paper investigates the relationship between trust and macroeconomic volatility. An illustrative model rationalizes … the relationship between trust and volatility. In this model, trust relaxes credit constraints and diminishes investment … with lower macroeconomic volatility in a cross section of countries. This relationship persists when various covariates are …

This study aims to investigate the presence of volatility transmission among regional equity markets of Pakistan, China … volatility transmission is present between friendly countries of different regions with economic links. We also find some … evidence of transmission of volatility between countries which are on unfriendly terms. …

volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and …

This paper shows that the volatility of wages has significant effects on a country’s rate of economic growth. Our … theoretical framework suggests two distinct channels in which wage volatility affects growth: a positive direct way and a negative … of government size. In the empirical part, we use a 3SLS approach to analyze a panel of 20 high-income OECD countries and …

the relations between volatility of share prices and shareholder return of the companies participating in WIG … analyzed period the WIG-Ukraine demonstrated decrease in capitalization of its companies and higher volatility comparing to WIG …: the decrease in correlation coefficient between the share prices' and the Index value led to the reduction of volatility …