endogenous relation between a shock's persistence and the magnitude of the induced price jump. As the number of frequencies …

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …

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

qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …

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 …

-cycle volatility, while preserving the model's properties in terms of comovement, and relative volatilities. In contrast, optimism is … not a useful source of volatility in our model …