volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … country- specific events. LRR reflects gradual and evolving processes that influence long-run growth rates and volatility. A …

High volatility and high beta stocks tilt strongly to small, unprofitable, and growth firms. These tilts explain the … the abnormal performance of defensive equity (i.e., low volatility and/or low beta strategies). While defensive strategy …

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 …

evidence for changes in persistence and in volatility of price across three well defined periods. We argue that historically … account for the increased volatility of oil price we observe in these periods …

future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a …