Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due …

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 …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …

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 …

unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We … short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility …

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 … and forecasting. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic …