Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … until the First World War. News events and macroeconomic variables cannot account for this extended period of reduced …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

empirical fact that the term structure of interest rate volatility has a hump-shaped pattern on employment report days (but not …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …