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 …

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

estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …

has led many researchers to conclude that asset price data would be very useful for the estimation of business cycle …

heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical … volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

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 …