This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices’ realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search … queries. We find a strong co-movement of stock market indices' realized volatility and the search queries for their names …. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches …

This paper studies the dynamics of stock market volatility and retail investors' attention to the stock market, where … co-movement of the Dow Jones' realized volatility and the volume of search queries for its name. Furthermore, search … queries Granger cause volatility: a heightened number of searches today is followed by an increase in volatility tomorrow. We …

The aim of this study is to investigate the volatility spillover connectedness between NFTs attention and financial … decomposition to assess the historical variations of the NFTsAI. Then the empirical analysis is performed via a TVP-VAR volatility …, DeFi, equity, bond, commodity, F.X. and gold markets. And NFT markets are volatility spillover receivers. In addition, NFT …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

volatility. The study investigates whether the asymmetric effects of good and bad news on volatility is present and how … distributional assumptions affect the selection of GARCH models. Compared to two widely used historical volatility models, the simple … the forecasts of loan market volatility. The model comparison involves a regression-based approach, loss functions and …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …