We examine “realized” daily equity return volatilities and correlations obtained from high-
frequency intraday transaction prices on individual stocks in the Dow Jones Industrial …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are
negatively correlated. We provide a unified framework to simultaneously investigate …

Correlations between US stocks and the aggregate US market are much greater for
downside moves, especially for extreme downside moves, than for upside moves. We …

We show that higher cash flow volatility is associated with lower average levels of
investment in capital expenditures, R&D, and advertising. This association suggests that …

The transmission mechanism of price and volatility spillovers across the New York, Tokyo
and London stock markets is investigated. The asymmetric impact of good news (market …

In this paper, we present a comprehensive survey of continuous stochastic volatility models,
discussing their historical development and the key stylized facts that have driven the field …

We study the effect on stock volatility and turnover of coverage by traditional news media
and social media. We find that coverage by traditional news media predicts decreases in …

It has been previously documented that individual firms' stock return volatility rises after stock
prices fall. This paper finds that this statistical relation is largely due to a positive …

High-frequency trading has become a dominant force in the US capital market, accounting
for over 70% of dollar trading volume. This study examines the implication of high-frequency …

New evidence is provided on price and volatility spillovers among the Danish, Norwegian,
Swedish, and Finnish stock markets. The impact of good news (market advances) and bad …