crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market … participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and … crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. …

(2006), to determine the volatility spillovers between interest rates and stock returns for the US, the euro area, the UK …, and Japan. The investigation pays careful attention to volatility transmissions between stock returns and interest rates … causality is observed, the volatility spillover from interest rates to stock markets are more prominent for the full-sample, as …