Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases …, the quality of forecasts should improve. Yet, there is no consensus about a true' or best' measure of volatility. In this … paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to develop a …

-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …

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 …

This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal … output will be overstated, and the bias can be large (about 25 percent). Second, we argue that, according to finance theory …

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 …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

We propose a theory of financial intermediaries operating in markets influenced by investor sentiment. In our model …. Banks maximize profits, and there are no conflicts of interest between bank shareholders and creditors. The theory explains …

This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global … volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of … shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as …