increase in financial volatility is analyzed and explained as the result of optimal portfolio allocation, and its implications …

price volatility (Campbell et al. 2001, Shiller 2000, Pastor and Veronesi 2006). Yet innovation data is not used in these … analyses, leaving the direct relationship between innovation and volatility untested. Our aim is to investigate more closely … the relationship between stock price volatility and innovation using firm level patent citation data. The analysis builds …

, different indices of stock price volatility (excess volatility and idiosyncratic risk) also prove to successfully capture … correlation between innovation and volatility is studied in 34 industries with different levels of innovativeness. The results …

shock and volatility effects on future volatility between the commodities, as compared with their effects in the all … and gold than oil. The multivariate conditional volatility models reveal greater volatility spillovers than their …

liquid instrument suffers from liquidity shocks that induce periods of increased volatility and significant return …

foreign direct investment (FDI). Two competing specifications of exchange rate volatility are examined. The investigation is … specification defined as the unexplained part of real exchange rate volatility. Now, results show a clear distinction between non …

and volatility. The present paper focuses on volatility. We develop a model of a regionally-integrated macroeconomy to … suggests that weaker regions are likely to do better than stronger regions with respect to volatility if the national economy …

and volatility in contrast to the exogenously assumed constant mean and volatility in many credit risk models. We consider … attenuated (amplified) market volatility and risk premium, but the market value is always higher in economic downturns, and lower …