the joint dynamics of its volatility and Sharpe ratio as functions of yield curve variables, and of VIX in the US. We have … volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …

-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 …

relationship between carry trade excess returns and exchange rate volatility, both realized and implied. Specifically, we extend … persistent excess returns that unwind sharply resulting in losses when actual and implied volatility rise …We next also document significant volatility regime sensitivity for Fama regressions estimated over low and high …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

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

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …