This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to … manner that depends crucially on the variance-covariance properties of investment returns, rather than on their average only. …

inflation volatility, we unwind one of Sargent's simplifications and allow the monetary authority to react to some of the shocks … were also persuaded to stop using changes in inflation to offset shocks. Inflation and inflation volatility therefore …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

-step investment processes, and (iii) behavioral biases of private investors. In order to exploit the volatility effect in practice we …We present empirical evidence that stocks with low volatility earn high risk-adjusted returns. The annual alpha spread … of global low versus high volatility decile portfolios amounts to 12% over the 1986-2006 period. We also observe this …

In this paper we examine the volatility of aggregate output and employment in Australia with the aid of a frequency … to output volatility in Australia which holds that there was a once and for all sustained reduction in output volatility … in or around 1984. We do not find any convincing evidence for a sustained reduction in the cyclical volatility of the GDP …

The instantaneous volatility of the price process is analyzed through the intraday financial durations between price …