Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy … Uncertainty. This paper shows that most of the observed volatility in financial markets is generated by the beliefs of the agents …

Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the …, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably …

and the short-run or transitory components of the volatility of daily stock market returns using bivariate mixture models …. For this purpose, the Standard bivariate mixture model of Tauchen and Pitts (1983) in which volatility and volume are … each endowed with their own dynamic behavior are allowed to direct volatility and volume. Since the latent information …

The volatility information content of stock options for individual firms is measured using option prices for 149 U ….S. firms and the S&P 100 index. ARCH and regression models are used to compare volatility forecasts defined by historical stock … returns, at-the-money implied volatilities and model-free volatility expectations for every firm. For one-day-ahead estimation …

The present study addresses the economic interpretation of stock market volatility. We argue that its character is … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to … volatility. We estimate simultaneous timevarying coefficient models, using data of US and further stock markets. We find the …

Belief Equilibrium (RBE) for market volatility. It is argued that the theory of Rational Belief Equilibria (RBE) provides a … unified paradigm for explaining market volatility by the effect of "Endogenous Uncertainty" on financial markets. This … the book regarding market volatility. The structure of the paper is as follows. Section I outlines the basic assumptions …