has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms' export intensity. We also uncover evidence consistent …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

This paper aims to select the best model or set of models for modelling volatility of the four most popular …

We study a segmented-markets setting in which self-fulfilling volatility can arise. The only requirements are (i) asset … valuation ratios stationary (e.g., cash flow growth rises when valuations rise). We prove that when self-fulfilling volatility … susceptible to self-fulfilling fluctuations. The tight theoretical connection between price volatility and arbitrage is detectable …

This paper examines mean and volatility spillovers between four green municipal bonds issued by the US states of …

This paper provides some comprehensive evidence on the effects of cyber-attacks on the returns, realized volatility and …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …