We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because …, theory implies that the volatility of stocks affected by the reform should decrease relative to other stocks. This prediction … are also consistent with models in which individual investors, acting as noise traders, are a source of volatility. …

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 …Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise …

includes (i) Gaussian shocks with stochastic variance, (ii) jumps up and down in the exchange rate, and (iii) jumps in the … probability of jumps in variance is increasing in the variance but not related to interest rates. Many of the jumps in exchange … rates are associated with macroeconomic and political news, but jumps in variance are not. Overall, jumps account for 25% of …

preferences, habits, and jumps. The metrics describe the pricing kernel’s dispersion (the entropy of the title) and dynamics (time …

volatility mean reverting assumptions. We propose generalisations with a time varying central tendency, jumps and stochastic … volatility, analyse their pricing performance, and their implications for the term structures of VIX futures and options, and the … option volatility "skews". We find that a model combining central tendency and stochastic volatility is required to reliably …