speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase … more important role in aligning agents' information set, thus leading to a stronger volatility reduction. The empirical …

spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the …