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

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model t for specific regions of the volatility surface and for the … index options we extend the popular double-jump stochastic volatility model to allow for time-varying risk premia of extreme …

implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new … for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the … persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts …

principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew …, and 60% of the implied volatility term structure across equities. Furthermore, the first principal component has a 92 …% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the …