basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …

categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility …Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility … volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields …

, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is … associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a … positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

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

the time-varying volatility of real gold prices if preference shocks for gold services are small under the classical gold …