, preference heterogeneity causes countercyclical variations in the volatility of aggregate risk aversion. At times of high … volatility of aggregate risk aversion, which is a common factor in returns, we see high correlations. The calibrated model … aversion jointly explains average industry correlations, expected excess returns, standard deviations and turnover volatility …

into volatility persistence in stock returns. In part two, I show that the introduction of continuous trading on the WSE is … volatility on days after limit hits and positive autocorrelation in stock returns. I do not find significant advantages of this …

mid-1980s, in contrast to the simultaneous volatility decline of most aggregates, including overall hours and employment … the skill premium, it is interesting to check its short-run implications for employment volatility. The numerical results … DSGE models' implications for overall labor market' volatility. …

Kooperation in einem einmaligen Spiel. Darüber hinaus finden wir keinen Hinweis darauf, dass Risikoaversion ein Faktor ist …

valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely … Australian markets which show that this model improves high frequency volatility forecasts. This is most evident for news which …

This study analyzes the impact of stock market liberalization on emerging equity market volatility, in twelve emerging … time-varying nature of conditional volatility following initial market opening. Second, we analyze the effect of … liberalization on stock market volatility while controlling for the fundamental sources of emerging equity market volatility. Finally …