We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … options. These two measures capture the ex-ante risk assessed by investors. We find that both components of risk vary … equilibrium model with a representative investor, we translate the filtered measures of ex-ante risk into an ex-ante risk premium …

.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

. A novel channel of risk sharing of volatility risks can explain our empirical findings …We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks … to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

find that policy uncertainty raises stock price volatility and reduces investment and employment in policy …

shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts … short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike … longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i …