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Volatility (finance)

About: Volatility (finance) is a research topic. Over the lifetime, 38272 publications have been published within this topic receiving 979187 citations.


Papers
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TL;DR: In this article, the authors developed the efficient markets model in Section I to clarify some theoretical questions that may arise in connection with the inequality, and some similar inequalities will be derived that put limits on the standard deviation of the innovation in price and the variance of the change in price.
Abstract: This paper will develop the efficient markets model in Section I to clarify some theoretical questions that may arise in connection with the inequality (1) and some similar inequalities will be derived that put limits on the standard deviation of the innovation in price and the standard deviation of the change in price. The model is restated in innovation form which allows better understanding of the limits on stock price volatility imposed by the model. In particular, this will enable us to see (Section II) that the standard deviation of p is highest when information about dividends is revealed smoothly and that if information is revealed in big lumps occasionally the price series may have higher kurtosis (fatter tails) but will have lower variance. The notion expressed by some that earnings rather than dividend data should be used is discussed in Section III, and a way of assessing the importance of time variation in real discount rates is shown in Section IV. The inequalities are compared with the data in Section V.

2,805 citations

Journal ArticleDOI
TL;DR: This paper used a generalized vector autoregressive framework to characterize daily volatility spillovers across US stock, bond, foreign exchange and commodities markets, from January 1999 to January 2010, and showed that despite significant volatility fluctuations in all four markets during the sample, cross-market volatility spillover were quite limited until the global financial crisis, which began in 2007.

2,688 citations

Journal ArticleDOI
TL;DR: In this paper, an extension of the ARCH model was proposed to allow the conditional variance to be a determinant of the mean and is called ARCH-M. The model explains and interprets the recent econometric failures of the expectations hypothesis of the term structure.
Abstract: The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of LM diagnostic tests reveals the robustness of the model to various specification changes such as alternative volatility or ARCH measures, regime changes, and interest rate formulations. The model explains and interprets the recent econometric failures of the expectations hypothesis of the term structure. Copyright 1987 by The Econometric Society.

2,654 citations

Journal ArticleDOI
TL;DR: The authors quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column and find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals.
Abstract: I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.

2,578 citations

Journal ArticleDOI
TL;DR: The authors model consumption and dividend growth rates as containing a small long-run predictable component, and fluctuating economic uncertainty (consumption volatility), for which they provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena.
Abstract: We model consumption and dividend growth rates as containing (1) a small longrun predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin’s (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price‐ dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying.

2,544 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20245
20232,513
20224,828
20212,061
20202,047
20191,936