-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …

variability. We show that financial liberalization is mostly associated with lower consumption growth volatility. Our results are … volatility after equity market openings. The results hold for both total and idiosyncratic consumption growth volatility. We also … find that financial liberalizations are associated with declines in the ratio of consumption growth volatility to GDP …

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

-aged individuals. Understanding the mechanism underlying this observation is key to explaining the volatility of aggregate hours over …

to have dealt with the volatility better. Why? This paper explores Australian terms of trade volatility since 1901. It …