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 …

-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 …

imposed in CIR-style models and models in which the state variables are the stochastic long-run mean and volatility of r …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …;unspanned stochastic volatility (USV).quot; Of the models tested, only the A1(4) USV model is found to generate both realistic volatility … estimates and a good cross-sectional fit. Our findings suggests that interest rate volatility cannot be extracted from the cross …

We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term …-frequency data. We find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely …-diffusive models is incapable of accommodating the observed yield volatility dynamics. An important implication is that the bond …

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

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

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 …

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 …