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 …

uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing … volatility in growth rates, as in the data, are quite small. These growth rate dynamics, for which we provide empirical support …, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main …

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." …

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 …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through … intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional …

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