epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth … but firms can mitigate damages. We estimate a large reproduction number R0 and transmission volatility for COVID-19. Using …

What explains stock market behavior in the early weeks of the coronavirus pandemic? Estimates from a dynamic asset …

stock market volatility, newspaper-based economic policy uncertainty, twitter chatter about economic uncertainty, subjective … January 2020) in two-year implied volatility on the S&P 500 and subjective uncertainty around year-ahead sales for UK firms to … a 20-fold rise in forecaster disagreement about UK growth. Third, time paths also differ: Implied volatility rose …

volatility back to 1985. We also evaluate potential explanations for the unprecedented stock market reaction to the COVID-19 …

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 …

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates …