Search Results for volatility risk

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This paper proposes a stochastic volatility model to measure sovereign financial distress. It...

The recent relatively high levels of global oil prices have led to a significant improvement in...

Hong Kong SAR's government faces the dual challenges of volatile revenue and medium term spending...

There is strong evidence that interest rates and bond yield movements exhibit both stochastic...

A structural vector autoregression model is developed to analyze the dynamics of bond spreads...

We study the effects of permanent and temporary income shocks on precautionary saving and...