This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

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 …

volatility …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … markets. We also examine the impact of capital market" liberalizations on the correlation of emerging equity market returns …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … up to 256 discrete states on daily U.S. equity returns. The multifrequency equilibrium has significantly higher … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 …