We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section …

that, in the presence of a binding RFS, the inherent volatility in the US coarse grains market will rise by about one …-quarter. And the volatility of the US coarse grains price to supply side shocks in that market will rise by nearly one-half …. With a binding blend wall, we see similar, although somewhat smaller, increases in market volatility. If both the RFS and …

major finding is that the volatility of interest rates is increasing in the level of interest rates only for sharply upward …

implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …

explored that evidence of excess volatility need not imply the existence of unexploited profit opportunities under the rational …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are …