investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …

span the volatility risk, an investor increases her investment in theunderlying stock. In addition, the investors indirect … utility increases significantly when allowed to span the volatility risk using variance swap contracts. …

We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of … estimating conditional volatility and correlation across yields. …

We evaluate how non-normality of asset returns and the temporal evolution of volatility and higher moments affects the … high as the fee she is willing to pay to benefit from volatility timing. Many tests of robustness are performed, yet, the …

various assumptions about the underlying price process including large drifts, stochastic volatility with leverage effects and … futures data sampled at a 5-minute frequency. A state-space framework reveals the latent stochastic volatility process and …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …