This paper models price volatility through description of the second-degree transactions and expectations averaged by time interval Δ. We call it - the second-order economic theory. First two price statistical moments define volatility. To model volatility one needs description of the squares...

The currently ongoing novel Coronavirus-crisis is an external shock coming down on society with direct impact on societal moods and subsequently connected economic changes. With growing digitalization and quickening of transfer speed, information exchange in the individual involvement to break...

Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying...

The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic...

We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...