This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using … for stocks under stochastic volatility varies strongly with the investor's coefficient of relative risk aversion, but only … preference parameters. This paper also shows that stochastic variation in volatility produces an optimal intertemporal hedging …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

We present a theory of excess stock market volatility, in which market movements are due to trades by very large …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … always decreases after a capital market liberalization but the effect is" economically and statistically weak. The effects on …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War … I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock … volatility of German stock indices before 1914 …