advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for … model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

institutions predicts higher volatility and greater noise in stock prices, as well as greater fragility at times of crisis. When …