empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …

In this paper, we scrutinize the cross-sectional relation between idiosyncratic volatility and stock returns. As a … novelty, the idiosyncratic volatility is obtained by conditioning upon macro-finance factors as well as upon traditional asset …. Cleaning for macro-finance effects reverses the puzzling negative relation between returns and idiosyncratic volatility …

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …

diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the … underlying asset price exhibits volatility and jump intensity dynamics. The volatility and jump intensity dynamics in the model … are directly driven by model-free empirical measures of diffusive volatility and jump variation. Because the empirical …

indicates that the overall fit of the model is adequate. However, we find that the amount of aggregate stock market volatility … experiment shows that while a higher elasticity of substitution helps to increase the aggregate stock market volatility and hence … premium and for the volatility of the government bond returns without compromising the ability of the price-dividend ratio to …

high volatility regimes. …

kurtosis and next week?s stock returns. We do not ?nd a strong relationship between realized volatility and stock returns. A …