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 …

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 …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

Data show that better creditor protection is correlated across countries with lower average stock market volatility …

with increases in stock volatility and large absolute changes in consensus earnings forecasts …