realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …

Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Production Based Asset Pricing Models. Foreign … financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is … international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and …