We develop a dynamic asset-pricing model of cryptocurrencies/tokens that allow users to conduct peer … intertemporal feedback between user adoption and token price accelerates adoption and dampens user-base volatility …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity …, who can be last year's winners. This elevation in firm-specific fundamentals volatility elevates firm-specific return … volatility in a sufficiently informationally efficient stock market. These linkages are interconnected feedback loops, rather …