This paper reviews the literature on idiosyncratic equity volatility since the publication of "Have Individual Stocks …, Gharghori, and Zhong and by Leippold and Svaton, and we present volatility estimates through the end of 2021, significantly … period, idiosyncratic volatility declined thereafter; but sharp increases in market, industry, and idiosyncratic volatility …

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is … 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 …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …