tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …