require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …

while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

conversion features come with a lower subsequent volatility of the bank asset value, but are inferior to equity in terms of their …

transient turbulent periods in the prices' time series as well as a humped term structure of volatility. We compare the dynamics …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and … significantly increases volatility in financial markets. When introducing limits on re-use, we find that volatility is strictly …

are split into three components. The first component allows us to match the volatility term structure, the second … generates stochastic volatility, and the third one accommodates for stochastic skew. The model is parsimonious, yet flexible …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one … cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002) showed that …