demand, triggering lasting volatility outbursts. Eventually, however, higher stock market risk reduces stock market … participation and volatility decreases again. Simulations furthermore reveal that our approach is also able to produce bubbles and … crashes, excess volatility, fat-tailed return distributions and serially uncorrelated price changes. …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

safeguard against excessive volatility. This paper proposes an asset pricing model where two types of rational traders coexist … volatility not only exists, but is actually fueled by fundamental trading. Consequently, efficient markets are more volatile with … speculation might, surprisingly, end up increasing volatility …

successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

increase in price volatility as well, however, under certain conditions. Price changes from pyramiding effect are also …

quantitatively replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

We contrast two different asset pricing models, where the pricing kernel either (i) increases in the volatility … dimension, reflecting investors' aversion to volatility, or (ii) could be non-monotonic in volatility, reflecting heterogeneity … in investors' beliefs. The two models yield opposite predictions about volatility tail behavior, whereby the model with …