It is a common practice in finance to estimate volatility from the sum of frequently-sampled squared returns. However …-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails …

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

volatility, and discusses steps to facilitate the creation of these markets …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

This paper addresses the puzzle of regime-dependent volatility in foreign exchange. We extend the literature in two … induce volatility under flexible rates because they have portfolio-balance effects on price, whereas under fixed rates the …

explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational …