price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two … exploit, and hence, eliminate excessive volatility, except in the very long run." …

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing … volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

This paper examines how labor income volatility and social security benefits can influence lifecycle household …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

price volatility and "sentiment" fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management …; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however … volatility forecastability are plagued by the fact that they are joint assessments of volatility forecastability and an assumed …

unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. We … short time series of consumption data undermines the ability of tests that use the restrictions implied by the volatility …