that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … the cost of capital always decreases after a capital market liberalization but the effect isquot; economically and …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …