findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due …

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 …

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 …

We study stock returns over the period of the global financial crisis of 2007-2008 and identify three crisis "shock …, and (3) selling pressure on firms' equity. All three of these "shock factors" are reflected in large and statistically … of the importance of each of the shock factors tracks related changes in the global economic environment …

, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A …