-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is … the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial …

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

stock price reaction to news, and hence lowering the stock return volatility. Thus, in addition to uncertainty about … fundamentals, uncertainty about CEO quality is also a source of stock return volatility, which decreases over a CEO's tenure as the …'s prospects. Overall, uncertainty about management quality appears to be an important source of stock return volatility …

This paper uses a disaggregated approach to study the volatility of common stocks at the market, industry, and firm … levels. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market volatility …, while the number of stocks needed to achieve a given level of diversification has increased. All the volatility measures …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …