closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …

equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …

ranked in terms of liquidity, volatility, and informational effi ciency. We derive implications that explain market anomalies …

This paper discusses the role that stock market volatility plays in the linkages between the U.S. stock and Treasury …. The baseline analysis shows that the interaction between volatility and illiquidity dynamics coincides with the flight …-term and the short-term bond markets. Finally, this paper finds that an adverse stock market volatility shock increases the …

This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the … to consider the impact of market-wide investor sentiment on volatility and returns. …