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

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …

speculative trading increases. As a result, market liquidity deteriorates and short-term volatility rises. Our findings hold for a …

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

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …