-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 …

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 …

Managed portfolios that take less risk when volatility is high produce large alphas, substantially increase factor …, profitability, return on equity, and investment factors in equities, as well as the currency carry trade. Volatility timing …

of conditioning information used to model the conditional mean and conditional volatility of excess stock market returns …, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …

in pricing portfolios formed on earnings surprise, idiosyncratic volatility, financial distress, net stock issues …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent … returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation … regarding improved volatility estimation methods …