This paper examines the effect of macroeconomic releases on stock market volatility through
a Poisson–Gaussian-GARCH process with time-varying jump intensity, which is allowed to …

Twenty-five years of volatility research has left the macroeconomic environment playing a
minor role. This paper proposes modeling equity volatilities as a combination of macro- …

We propose a new approach to model high and low frequency components of equity
correlations. Our framework combines a factor asset pricing structure with other specifications …

This paper examines two approaches characterized by different tail features to extract market
expectations on the Mexican peso-US dollar exchange rate. Expectations are gauged by …

This paper re-examines the role of country-specific fundamentals in explaining sovereign risk.
Our analysis focuses on 26 countries, including both developed and emerging economies…

We model high and low frequency variation in global equity correlations using a sample of
43 countries, including developed and emerging markets during the period 1995-2008. Such …

This article examines changes in the exchange rate expectations associated with capital
controls and banking regulations in a group of emerging countries that implemented these …

This paper studies cross-sectional determinants of stock returns and order flow around five
recent episodes of market crashes in the United States during the period from 1998 to 2008. …

Este estudio modela la variación de alta y baja frecuencia en correlaciones globales de
valores bursátiles, usando una muestra amplia de 43 paıses que incluye mercados …

Este artıculo examina el efecto de los anuncios macroeconómicos en la volatilidad del mercado
de valores utilizando un proceso Poisson-GARCH Gaussiano con intensidad de saltos …