foreign investors should reduce stock price volatility in the local market. We investigate a sample of large public Korean … results show that the proportion of outside directors with advanced foreign degrees stabilizes stock price volatility. Given …

It is "well known" that there is no explicit expression for the Black-Scholes implied volatility. We prove that, as a … function of underlying, strike, and call price, implied volatility does not belong to the class of D-finite functions. This … does not rule out all explicit expressions, but shows that implied volatility does not belong to a certain large class …

, 335 (1998)]. We hypothesise that the volatility scaling we find for these GDP constituents causes the volatility scaling …

explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …

In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and … with recent theories of financial frictions. The positive relation between volatility and skewness in the cross-section is …

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …

implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …

allowing the conditional variance of a particular market to depend on past volatility shocks in other markets. The inter …. Extending the model to incorporate leverage effects leads to further improvement in the volatility fit. We compare weight …

Chili prices in Indonesia at the end of 2010 soared 10-fold within the span of a few months. This was not an isolated … event. Chili prices have been extremely volatile over the past decade. Although chili is a condiment in Indonesian cooking … efficiency of the chili marketing chain. We follow this with a regression analysis of farm and retail prices and price margins …

recommendations have on returns and also on volatility instead of the traditional literature that focuses only in the impact on prices … their volatilities. A better knowledge of the mechanism that links relevant news and stock prices would help both private … Norden (1997) and we have found two states of low and high volatilities. Thus, we can measure the volatility generated by the …