shocks are driven by a stochastic volatility model. We show that our nonparametric approach improves in terms of tail … stochastic volatility, and the simple random walk. We illustrate the practical relevance of our new approach by tracking the …

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 …

strongly predicts higher, more persistent, and less volatile profitability; and higher abnormal stock returns--findings that … uncertainty, lower investor attention, and greater sensitivity of future profitability to InnOrig. This evidence suggests that …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due …

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." …

volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different … combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility …