stochastically correlated default intensities, ormultivariate dynamic portfolio choice with volatility and correlation jumps. We then … dynamic portfolio choice. First, we find that a three-factor matrix AJD model can generatevariations of the implied volatility … skew term structures that are largely unrelated to the level andcomposition of the spot volatility.[...] …

This paper studies the effects of investors’ heterogeneous beliefs on the trading volume,price volatility, and … volatility increases.[...] …

We derive representations for the stock price drift and volatility in theequilibrium of agents with arbitrary … characteristic of the aggregate dividendprocess that we call the ”rate of discounting volatility” and showthat, in equilibrium, the … size of market price of risk is determined bythe market price of discounted dividend volatility (DDV), discountedat that …

Theoretical models predict that the value of a real option should be increasing in the volatility ofthe underlying … asset. Thus, if real options are economically important, then firm values should bepositively related to volatility … volatility. Moreover, this positiverelation is stronger for firms that are more likely to have more real options and for firms …

This article studies the e¤ect of limited commitment on stock return volatility in a dynamicgeneral equilibrium economy … which drives the short-run stock return volatility has threecomponents: endowment risk, sentiment risk, and solvency risk …. The three components arepersistent, in line with volatility clustering or GARCH effects. The solvency risk component inthe …

kernelin a way that supports more realistic credit spreads and a co–movement with stock return volatility and option …