According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …

implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the …