This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a … volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation … for World War II where they support alternative estimates of Kuznets (1952). -- U.S. business cycle ; volatility ; dynamic …

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 …

intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS …

intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS …