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 …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers …

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

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

We examine aggregate idiosyncratic volatility in 23 developed equity markets, measured using various methodologies, and … we find no evidence of upward trends when we extend the sample until 2008. Instead, idiosyncratic volatility appears to … has relatively short duration. We also document that idiosyncratic volatility is highly correlated across countries …

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