This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …

. First, subjective probability adjustments add volatility to the stochastic discount factor, and can rationalize any pattern … consistent with empirical results reported here, and in the previous literature documenting stochastic discount factor volatility …. Several recent theories of stochastic discount factor volatility can, from the aggregate point of view, be interpreted as …