weights, one needs to estimate for each stock its volatility, correlations with all other stocks, and expected return. Our … contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …

, and volatility risks, its performance presents a challenge to asset pricing models. …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …

forward premia on monthly exchange rate returns in a framework that allows for volatility timing. We implement Bayesian … stochastic volatility innovations; and (ii) strategies based on combined forecasts yield large economic gains over the random …

volatility of state output growth, rather than in its average. The realized industry shares of output also converge faster to …