-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVS_t is high when …

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 returns, daily high-low range and daily realized volatility to develop a …

, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We … accounting, improve price and volatility discovery, and expand international risk intermediation activities …

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …

This paper makes three points regarding the proper measurement of the output of financial intermediaries. Two of them … concern the measurement of nominal financial output, especially banking output. First, we show that, to impute the nominal … will be overstated, and the bias can be large (about 25 percent). Second, we argue that, according to finance theory, the …

This lecture outlines an asymmetric information theory of financial instability which describes the fundamental forces … demonstrate that although international capital movements and financial volatility can play a role in destabilizing the economy is …

We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a … regional level based on foreign ownership at the firm level. We find a positive effect of foreign ownership on volatility of … higher levels of financial integration and volatility …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …