findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …

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

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility …

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 … statistically weak. The effects on volatility and correlation are less robust.quot …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

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