This paper focus on the problems faced in the empirical investigation of the relation between the level and volatility …

We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …

Volatility breaks are tested and documented for 19 important monthly macroeconomic time series across the G7 countries … structural break, volatility breaks are found to be widespread. This continues to hold when business cycle nonlinearities are … allowed in the variance. Multiple volatility breaks are also examined, and these are found to be especially prevalent for …

studies what factors determine scalpers' entry and exit, and how scalping affects market liquidity and price volatility. The …

Increases in market volatility of asset prices have been observed and analysed in recent years and their cause has …. The results clearly support the observed increasing volatility phenomenon and provide a quantitative explanation for it. …

current term structure of volatilities. The input term structure of volatility can be either the short term volatility or the … yield volatility. Sandmann and Sondermann derived conditions for the calibration to be feasible when the conditional short … rate volatility is used. In this paper conditions are investigated under which calibration to the yield volatility is …

properties of the computed volatility surface are discussed, including the effect of the Bayesian prior on the shape of the … surface and on the implied volatility smile/skew. The method is illustrated by calibrating to market prices of Dollar …-Deutschmark over-the-counter options and computing interpolated implied-volatility curves. …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … market investment, and presents some new empirical evidence using a proxy for the log consumption-aggregate wealth ratio as a … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …