long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross- equation … volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for …. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive risk …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …

futures prices did not respond to movements in bond prices. All adjustment towards equilibrium took place in the spot market. …

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long … volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility … coherence between volatility and the volatility-risk reward is the strongest at long-run frequencies. Our results are consistent …

volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time …We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence … on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations … of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation …

The mean-semivariance CAPM strongly outperforms the traditional mean-variance CAPM in terms of its ability to explain …