tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …

improvements on the performance of both the conditional CAPM and CCAPM when compared to their unconditional counterparts …

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 …