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 …

volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across … countries. The analysis uses both on univariate and bivariate switching volatility models. Our results do not rely on the … correlation coefficients, but on the co-dependence of volatility regimes. The results indicate that high-volatility episodes are …

Stock volatility has been unusually low since the 1987 stock market crash. The large increase in stock prices since … though the volatility of stock returns has not been high by historical standards. I compare volatility of returns to U ….S. stock indexes at monthly, daily, and intraday intervals, and I also show the volatility of returns to stock indexes implied …

has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the … time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of … particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital …

This paper presents a comprehensive study of the interactions among returns, volatility, and trading volume between the … foreign price volatility and trading volume on correlations between foreign and domestic stock returns, the paper aims to … transmission of stock returns and volatility. Major findings are three-fold: (1) contemporaneous correlations of stock returns …

volatility …

This paper analyzes the relation of stock volatility with real and nominal macroeconomic volatility, financial leverage …. Moreover, leverage has a relatively small effect on stock volatility. The amplitude of the fluctuations in aggregate stock … volatility is difficult to explain using simple models of stock valuation …