constructed dataset for Japanese manufacturing. The analysis rests on an appeal to an empirical “scaling relationship” between …

constructed dataset for Japanese manufacturing. The analysis rests on an appeal to an empirical “scaling relationship” between …

constructed dataset for Japanese manufacturing. The analysis rests on an appeal to an empirical “scaling relationship” between …

the cross-sectional dependence properties of the rescaled innovation. The aggregate maintains the core nonlinearity of a … volatility model, uncorrelation in the levels but autocorrelation in the squares, when the rescaled innovation is common across … units. The nonlinearity is, however, lost at the aggregate level, when the rescaled innovation is orthogonal across units …

volatility into these four sources, quantify their contribution to aggregate volatility, and study how they relate to the stage …, and slowly increases at later stages of development. Third, the volatility of country-specific macroeconomic shocks falls … with the level of development. We argue that many theories linking volatility and development are not consistent with these …

lower the volatility of output growth. Technological complexity evolves endogenously in response to profit incentives. The … decline in volatility thus arises as a by-product of firms’ incentives to increase profits and is hence a likely outcome of … that for reasonable parameter values, the model can generate a decline in volatility with the level of development …

This paper estimates the implied stochastic process of the volatility of the Swiss market index (SMI) from the prices … option pricing model of Duan (1991), the implied volatility process is estimated by a simulation minimization method from … option price data. We find the persistence of volatility shocks implied by options on the SMI to be very close to that …