Most of the empirical applications of the stochatic volatility (SV) model are based on the assumption that the conditional distribution of returns given the latent volatility process is normal. In this paper the SV model based on a conditional normal distribution is compa-red with SV...

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high...