. The model also generates levels of equity volatility consistent with those experienced in the stock market …

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …

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 …

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 …

-crisis subperiod, while for EMs the carry variable is never a significant predictor of returns. The high profit from the carry trade …