loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The …

This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of … higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump …

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

We studied (i) the volatility feedback effect, defined as the relationship between contemporaneous returns and the … market-based volatility, and (ii) the leverage effect, defined as the relationship between lagged returns and the current … market-based volatility. For our analysis, we used daily measures of volatility estimated from high frequency data to explain …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …