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

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 …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate …

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