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 …

joint impact of duration and microstructure variables on the returns volatility in the months before the event. The analysis …. Our results suggested that the effect of information on the returns volatility, as measured by several economic and …