the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree …

theory and previous findings …

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 …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

: implied volatility from one-day options on grains for the period 1906-1936, and on cliquet options, which provide insurance …

We propose a new model of exchange rates, which yields a theory of the forward premium puzzle. Our explanation combines … values for the volatility of the exchange rate, the forward premium puzzle regression coefficients, and near-random walk …