structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

The relationship between the level of stock market volatility and public information flow is non-linear, resembling a … bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information … realized GARCH model with time-varying intercept, measuring changes in the overall volatility level, which is governed by a new …

This study investigates the possible Granger-causal relations between stock price volatility and dividend dynamics on …-2018. Stock price volatility is calculated in terms of "conditional" volatility and in terms of the so-called "Shiller ratio … speculation to stock price volatility. Furthermore, we show that there is an inverse causal relationship ranging from stock prices …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel … market volatility. Lower expectations concordance produces a stabilizing effect wherein the offsetting views reduce market … volatility. The empirical findings hold for ex post and ex ante measures of volatility and for OLS and GARCH estimates. …

examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are …