This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …

inflation volatility, we unwind one of Sargent's simplifications and allow the monetary authority to react to some of the shocks … were also persuaded to stop using changes in inflation to offset shocks. Inflation and inflation volatility therefore …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

to an end. This paper offers evidence that the decrease in output volatility still remains in force despite the GR and …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …