The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility … volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

volatility of the Treasury bill market. We demonstrate that differently shaped yield curves can result given different … combinations of volatility and expectations about future spot rates. Moreover, adjusting the forward rate for the volatility …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

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