hand, the overall volatility of individual returns and market returns is higher …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …

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

the crash of the French stock market nearly forced the closure of the Paris Bourse. This exchange's structure was very … transactions. Using new archival data, this paper shows how the crash overwhelmed the Bourse's common fund. Only an emergency loan …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …

in emerging countries tend to have shorter duration and larger amplitude and volatility than in developed countries …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

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

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …