This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional … alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through …

volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically … forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility …

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

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