Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

, 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 …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …

alleviate microstructure frictions for realized volatility estimation. Size and power of the procedure are explored through … intraday data and nonparametric volatility measures, along with a new jump detection technique and appropriate conditional …

typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …