help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the … specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use … data, we find that daily realized power (involving 5-minute absolute returns) is the best predictor of future volatility …

.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …

(volatility) increases and returns distributions are more skewed to the left. We also examine the relation between ex ante returns … and ex ante volatility. The relation between the one-year expected risk premium and expected risk is negative. However …

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 … and the world market return. " Our empirical approach is designed to control for other economic events which might …

We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility …