This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

volatility …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … of return variance. We test this prediction of a Tobin's q model, by using cross-country panel regression on stock price … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy …

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. It … volatile stock markets, even after one controls for liquidity/maturity of the market, and the volatility of the underlying … fundamentals (volatility of real output and of monetary and fiscal policies). Moreover, the effect of insider trading is …

ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

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 …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …