component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

volatility of revenues, have failed to save a sufficiently high proportion of their resource revenues and failed to make high …

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …

reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear …

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 …