returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …

We study the prices that individual banks pay for liquidity (captured by borrowing rates in repos with the central bank … and benchmarked by the overnight index swap) as a function of market conditions and bank characteristics. These prices …

In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … in the regulation of one class of assets may have only small effects on these assets' return volatility if investors have …

the opposite direction of transitory pricing errors, both on average and on the highest volatility days. This is done …

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using … high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock … that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the …