In the paper we study the relationship between macroeconomic and stock market volatility, using Samp;P500 data for the period 1970-2001. We find evidence of a twofold linkage between stock market and macroeconomic volatility. Firstly, the break process in the volatility of stock returns is...

We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio...

We compare the computation of Value at Risk with daily and with high frequency data for the Deutschmark-US dollar exchange rate. Among the main points considered in the paper are: (a) the comparison of measures of Value at Risk on the basis of multi-step volatility forecasts; (b) the computation...

Have convergence of European economies and introduction of the euro produced some effects on European stock markets? Theory suggests that stabilization of fundamentals should decrease variance of stock returns for historically unstable stock markets. We test this proposition with daily data for...

We introduce a model for the analysis of intraday volatility of exchange rates returns, based on the structural time series methodology. The stochastic seasonal component is useful to model intra-day effects which may be different from one day to the other. The model is estimated with high...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model shows...

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data...

Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors...

We study a growth model with an environmental asset which is a source of utility and an input to consumption and production. The stock of this asset follows its own ecological dynamics, which are affected by economic activity. We study the implications of an approach to ranking sequences of...

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...