theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … increasing volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and … conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized …

This paper surveys the field of asset pricing. The emphasis is on the interplay between theory and empirical work, and … conditional mean of the SDF, while patterns of risk premia restrict its conditional volatility and factor structure. Stylized …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …