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 …

increased stock price volatility at the firm level …

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER … definition, but do so, to some extent, when using the OECD dating. In Germany and Japan, using a variety of volatility indicators …

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 …