this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the … lower during recession because regulators and investors focus more on downside risk and require conservative reporting by … stock volatility increases (reduces) with fundamental (information) uncertainty during both recession and expansion, but the …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on …

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …