equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …

This paper analyzes the relation between correlation risk and the cross-section of hedge fund returns.Legal framework … exposures to correlation risk explain cross-sectional differences in hedge fundexcess returns. Third, correlation risk is the …

simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the …

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation(DCC) model proposed by …

are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …

symbolic level are applied to predict the daily change in volatility of two major stock indices.... …

specicationof (a) the initial density, and (b) the volatility structure of the density. The volatilitystructure is assumed at any …

stochastic skewness component unrelated to volatility shocks. Theseproperties are useful in order (i) to model a term structure … of implied volatility skews moreconsistent with the data and (ii) to capture comovements of short and long term skews … largelyunrelated to the volatility dynamics. We estimate our models using about fourteen years ofS&P 500 index option data and nd that …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …