Stock return volatility during the Great Depression has been labeled a "volatility puzzle" because the standard …, and Jones; 1990). We investigate the "volatility puzzle" using a new series of building permits, a forward-looking measure … of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …

In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations …'s excess volatility puzzle with the business cycle …

growth and volatility in developing countries. The results suggest that it is difficult to establish a robust causal …

This overview introduces and summarizes the findings of a practical volume on managing volatility and crises. The … volatility leading to large output and economic growth costs, especially in poor countries. In these circumstances, good times do … cope with volatility also drive crises. Hence, the volume also focuses on the prevention and management of crises. It is a …

Does macroeconomic volatility/uncertainty affects accumulation of net foreign assets? In OECD economies over the period … 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors …, significantly positively associated with net foreign asset position. An increase in volatility (measured as the standard deviation …