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 …

shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

This paper provides a critical review of models of the spread of the coronavirus (SARS-CoV-2) epidemic that have been …

crisis has unfolded with extreme speed. We identify three indicators - stock market volatility, newspaper-based economic …

conduct Bayesian estimation. Compared with a standard bootstrap particle filter, the COPF significantly reduces the …

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 …-2008 can capture major daily outliers such as the 1987 stock market crash. I find that intradaily jumps in futures prices are … typically small, and that self-exciting but short-lived volatility spikes capture intradaily and daily returns better …