ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

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

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

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

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …