.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

volatility but are only able to outperform the passive funds in downturns. Simulations confirm the emergence of two regimes: a … bubble increases for low market liquidity and high switching speed of investors. The market volatility increases for strong …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

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

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …