We provide the first econometric investigation of volatility dynamics for the Carbon Financial Instrument (CFI) traded … GARCH model testing and estimation, concluding with some implications for volatility-based Value-at-Risk forecasts. Our …

nominal rigidities, the shock persistence and the type of Taylor rule affect the relationship between monetary volatility and …

This paper shows that news shocks amplify macroeconomic volatility in any purely forward-looking model, whereas results … are ambiguous when including a backward-looking component. We also investigate numerically the volatility effects of news …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

stochastic volatility model, finding that the approach is efficient and effective. Applications to continuous time finance models …

Existing models of offshoring are not equipped to explain how global production sharing affects the volatility of … the degree of movement of this margin in the data is sufficient to explain relative employment volatility in Mexico and …

, particularly during times of financial crises. This paper explores the relative roles of news and volatility in explaining the … of the correlations are more strongly explained by volatility rather than news. However as the global financial crisis …