market volatility beyond the volatility of macroeconomic fundamentals: (1) an increase in SVI is associated with higher … volatility in both time series and cross section; (2) causal effects run mainly from SVI to volatility. In addition, SVI is …

and herding among investors on the price bubble and excess return volatility. There are two classes of analysts one of … and the excess volatility is exaggerated especially when they are both huge …

We disentangle the risk of time-varying volatility and return in a consumption-based asset pricing model by introducing … stochastic volatility of consumption growth to asset prices moving in volatility units instead of moving in time. This time …-change approach yields additional insights to risk premia's composition. We explore stochastic volatility empirically where it eases …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the …

This study investigates the relation between volatility in the returns and trading volume adjusted for overall up … variance equation of the GARCH(1,1) model tend to reduce persistence in volatility more than the contemporaneous and lagged … trading volume. The overnight non-trading period downward price movement induced trading volume affect conditional volatility …