Stock market volatility was extremely high during the Great Depression relative to any other period in American history …-Nielsen and Shephard (2004) test for jumps in financial time-series. These jumps coincided with periods when stock volatility was … high as the arrival of new information about the uncertain future drove both the record stock volatility and the record …

return volatility. The model significantly improves prediction of the state of the economy using fully revised data. Real …

this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the … stock volatility increases (reduces) with fundamental (information) uncertainty during both recession and expansion, but the …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …