Is the way that people make risky choices, or tradeoffs over time, related to cognitive ability? This paper … annual time horizon, for a randomly drawn sample of roughly 1,000 German adults. Subjects also take part in two different …

Is the way that people make risky choices, or tradeoffs over time, related to cognitive ability? This paper … annual time horizon, for a randomly drawn sample of roughly 1,000 German adults. Subjects also take part in two different …

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 …, implemented by time-varying factor loadings. However, we find moderation in the nominal series. Moreover, we reproduce the …

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

Why is inflation so much lower and at the same time more stable in developed economies in the 1990s, compared with the … 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 …

Are excess stock market returns predictable over time and, if so, at what horizons and with which economic indicators …? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … change over time? This chapter reviews what is known about the time-series evolution of the risk-return tradeoff for stock …

underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility …Black and Scholes (1973) implied volatilities tend to be systematically related to the option’s exercise price and time … Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the …

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