We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

, volatility and stock returns. To do this, we use a large sample of individual accounts over a six-year period in the 1990's in …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …

ownership and trades by large institutions lead to higher volatility and to increased return and liquidity comovement. Moreover …

We document a form of excess volatility that is irreconcilable with standard models of prices, even after accounting …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …