applications where market expectations play a key role for evaluating economic models, guiding policy analysis, and deriving shock …

volatility and return predictability while preserving the model's consistency with option moments …

factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

I propose an investment-based asset pricing model augmented with intangible capital and transient volatility shock … volatility shock on output. Physical-capital-intensive value firms are thus more exposed to volatility shock and require more … premium. Moreover, the expected return of value firms surges conditionally upon a temporary volatility shock. As a result, the …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …