commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … to lower exchange rate volatility without altering macroeconomic fundamentals. …

international finance is explaining these cross-regime differences in exchange rate volatility. The evidence suggests that a switch …

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 …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … 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 … positive tail of the multivariate distribution. Using ‘extreme value theory’ to model the multivariate distribution tails, we … 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 … change over time? This chapter reviews what is known about the time-series evolution of the risk-return tradeoff for stock …