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 …

multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …

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

prices, including the equity premia, risk-free rate and volatility puzzles …