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...

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A variety of new and existing ARCH models are compared and estimated with daily Japanese stock return data to determine the shape of the News Impact Curve. New diagnostic tests...

We review the econometric literature on measuring the returns to R&D. The theoretical frameworks that have been used are outlined, followed by an extensive discussion of measurement and econometric issues that arise when estimating the models. We then provide a series of tables summarizing the...

This paper proposes a framework to account for innovation similar to the usual accounting framework in production analysis and a measure of innovativity comparable to that of total factor productivity. This innovation accounting framework is illustrated using micro-aggregated firm data from the...

In this paper, we put forward the idea of an innovation accounting framework and consider two main indicators based on it: expected innovation and innovativeness. The framework is the analogue of the standard framework of economic growth accounting, with innovativeness being a parallel notion to...

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with the relative share of stocks in the risky wealth...