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 …

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

, such as the predictability of excess returns, excess volatility, and the equity-premium puzzle. As with rational …

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 …

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 …