based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

main result is that wealth can be grown from volatility. Our findings demonstrate the benefits of active portfolio …

shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …

of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale …

;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general equilibrium model of sentiment. In it … that rational investors can do optimally to exploit, and hence, eliminate excessive volatility, except in the very long run.quot …

price volatility and sentiment fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

individual parameters, the dynamics of the aggregate volatility involves additional lags that reflect the moments of the …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …