This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the … stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming …

, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …

The risk-return trade-off being the very substance of finance, volatility has always been an essential parameter for … volatility risk: i.e. the model risk generated by treating the volatility as a constant parameter, when it is in fact volatile …. Hence the econometrician is asked for accurate measures and reliable forecasts of volatility, not only for pricing and …

volatility in more credit constrained firms. …

instruments. We calculate the volatility in each of these three alternative income metrics for a sample of French banks during … 2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the … volatility of comprehensive income is nearly twice that of net income, and the volatility of full fair value income is nearly …

not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully …

main stock market indices of the G5: interactions between return and volatility, international transmission mechanisms and … impact of trading volumes. The non-significance of expected volatility in return equation can be explained by the influence … of trading volumes on returns. On the other hand, asymmetric effects (from non-expected return to volatility) are very …

authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock …