We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the di erent volatility models and points out their advantages and …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We … show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate … temperatures, a +1oC increase in temperature volatility causes on average a 0.9 per cent decline in GDP growth and a 1.3 per cent …

for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can … be difficult to find the true volatility model with the selection criteria, using them is recommended because they can … whether time-varying volatility is present but do not discriminate well between different types of volatility changes. The …

model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of … model makes full use of information embedded in the covariance matrix. Estimation results show that in two recent episodes …