It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …

ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …