and lowering stock return volatility over the CEO's tenure. We formally model this idea, and evaluate its implications …. Consistent with this model, stock return volatility and the absolute value of stock price reactions to news, decline with CEO … substantially to return volatility, accounting for approximately 25% of total stock return volatility at the time of CEO turnover …

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …. The ability to explain the dividend strips puzzle, the term structure of interest rates and the predictive behavior of the …

conversion features come with a lower subsequent volatility of the bank asset value, but are inferior to equity in terms of their …

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the ….The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility …