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, 2005 The authors study the empirical, cross-country relationship between macroeconomic volatility and long-run economic growth. They address four central questions: 1) Does the volatility-growth link depend on country and policy characteristics, such as the level of development or trade openness?
Hnatkovska, Viktoria, Loayza, Norman
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Volatility Processes and Volatility Forecast with Long Memory
Quantitative Finance, 2002We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatility on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights.
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SSRN Electronic Journal, 2006
Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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Growth and volatility correlate negatively across countries, but positively across sectors. Analytically, whether or not sectoral growth and volatility are correlated positively is irrelevant in the aggregate. Cross-country estimates identify the detrimental effects of macroeconomic volatility on growth, but they cannot be used to dismiss theories ...
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JAMA: The Journal of the American Medical Association, 1979
AMYL nitrite was introduced into medical practice as a coronary vasodilator more than a century ago; for much of that time, it was a mainstay, along with nitroglycerin, for angina pectoris. At present it is not used much, having been displaced by the organic nitrates. However, amyl nitrite along with its six-carbon analog, isobutyl nitrite, has come on
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AMYL nitrite was introduced into medical practice as a coronary vasodilator more than a century ago; for much of that time, it was a mainstay, along with nitroglycerin, for angina pectoris. At present it is not used much, having been displaced by the organic nitrates. However, amyl nitrite along with its six-carbon analog, isobutyl nitrite, has come on
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The signal of volatility [PDF]
, 2012 The present study addresses the economic interpretation of stock market volatility. We argue that its character is inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these views by measuring the fraction of price changes that feeds into other markets depending on the prevailing ...
Till Strohsal, Enzo Weber
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Asymmetric Volatility and Volatility Spillovers
2016Why indeed is volatility asymmetrical? Wholly apart from their epochal methodological contributions, providing an answer to this question may be the greatest theoretical advance traceable to time series models. This chapter will explore three distinct accounts of asymmetrical volatility.
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Volatility of Prices and Volatility of Dividends
1998The theoretical model which we present in this chapter is an attempt to develop a framework of analysis sufficiently general to study the volatility of stock prices when markets are efficient but with no a priori specification on the distribution of the relevant stochastic processes. To this aim, we shift the attention from dividends to earnings and we
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The Distribution of Realized Exchange Rate Volatility
Journal of the American Statistical Association, 2001Tim Bollerslev +2 more
exaly