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 …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility … volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields …

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

We propose a theory of financial intermediaries operating in markets influenced by investor sentiment. In our model …. Banks maximize profits, and there are no conflicts of interest between bank shareholders and creditors. The theory explains …

This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global … volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of … shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as …

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