market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … of oil prices. Our model predicts a large decline in this volatility …

implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …

explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational …

major finding is that the volatility of interest rates is increasing in the level of interest rates only for sharply upward …