Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market … production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ …

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 …

This paper develops mew robust inference procedures for analyzing the intraday return volatility patterns that …, Lyons, and Melvin (1998) (ILM) argue that this deregulation resulted in a highly significant shift in the volatility pattern …

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

financial stringency from the harvest season, with the rest of the year during the period 1870-1925. Stock volatility in the … period (1870- May 1908). We also find that the volatility of the call loan rate declined nearly 70 percent in September and …

Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …

We explore the equilibrium relation between price volatility and price informativeness in financial markets, with the … volatility. We identify two different channels (noise reduction and equilibrium learning) through which changes in price … informativeness are associated with changes in price volatility. We show that when informativeness is sufficiently high (low …

volatility, and are themselves unpredictable …

find that policy uncertainty raises stock price volatility and reduces investment and employment in policy …