successfully replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is … associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a … positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher …

a GARCH process for conditional volatility. Under such heteroskedasticity, OLS estimators or parameters in single …

reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering …