Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of … normal volatility dynamics and macroeconomic uncertainty. Building on intuition from the dynamic asset pricing literature, we … while controlling for realized volatility, expectations about the macroeconomic outlook, and interest rates. We apply this …

comovements with the macroeconomic outlook. In particular, when option implied volatility is high, as measured for instance by the …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

comovements with the macroeconomic outlook. In particular, when option-implied volatility is high, as measured for instance by the …