economy is expected to contract in the near future, financial markets become more volatile and volatility is greater in … recessions than in expansions. In this paper we estimate common financial market volatility (FMV) implied in each financial … 2-6 months earlier than a peak in business cycles and the probability of a high volatility regime also rises to near 1 …

English Abstract: To explain excess volatility frequently observed in asset markets, this paper suggests that the time … volatility clustering. Reflecting the realistic assumptions, this paper also extends the heterogeneous agent models, and … behavior causes excess volatility as well as volatility clustering, and plays an influential role in dynamics of asset prices …

significant relationship between the EDF calculated using bank stock prices and volatility in stock market is examined, reflecting …