We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by …

-reversion in volatility, those findings have been interpreted as evidence for overreaction in the options market. Focusing on a … risk-neutral volatility dynamics are substantially more persistent than the physical one. As a result, the empirical … observation of a strong reaction of longterm volatility would be consistent with perfectly rational behavior. We additionally show …

In the aftermath of the financial crisis, market efficiency is being heavily criticized. However, the volatility …

This paper identifies two channels through which the economy can generate endogenous inflation and output volatility … and endogenous volatility. …

This paper identifies two channels through which the economy can generate endogenous inflation and output volatility … switching and endogenous volatility. (Copyright: Elsevier) …

consumption volatility. Calibration of the model for pre and post financial reform in India provides support for the model's key …How does access to credit impact consumption volatility? Theory and evidence from advanced economies suggests that … volatile than income, indicates that financial reform further increases the volatility of consumption relative to output. We …

In this paper, the development of price volatility on German agricultural markets is analyzed. The goal is to quantify … the degree of price volatility for selected German agricultural markets and determine how it evolutes over time. Where …, questions are: Was there an increase in price volatility? Did it came from the world markets? What is the impact of price …