This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model … with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility … a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …