result from classical CAPM to the case with multiperiod planning horizons by proving that under homogeneous beliefs … provided that time series of prices and returns generated by investors with rational expectations exhibit strong volatility … clustering. The presence of investors with different planning horizons may thus provide a natural source for clustered volatility …

-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

In this paper we test whether volatility in six emerging markets has changed significantly over the period 1976 … the behavior of the sotck market volatility changed. The analysis suggests that volatility has behaved in a di …

. More specifically, we bring in information about the term structure of implied volatility from derivatives data and we use …, we obtain forecasts of volatility that can be useful for derivatives pricing and hedging purposes. Finally, our results …