The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on … macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the … flight-to-quality phenomenon when macroeconomic uncertainty is high …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …

, and develop a novel Bayesian estimation method for this model. We find that the percentages of the wave series that are …

We study the impact of economic policy uncertainty (EPU) shocks on the long-run stock market variances and correlations … correlation, even after accounting for a number of alternative uncertainty measures, and that it performs better out …-of-sample than most of the alternative uncertainty measures …

this relationship accentuates or attenuates idiosyncratic stock volatility. Fundamental uncertainty refers to the … stock volatility increases (reduces) with fundamental (information) uncertainty during both recession and expansion, but the … uncertainty about firms' future cash flows and earnings, while information uncertainty captures the uncertainty about the true …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …

Stock market volatility was extremely high during the Great Depression relative to any other period in American history …-Nielsen and Shephard (2004) test for jumps in financial time-series. These jumps coincided with periods when stock volatility was … high as the arrival of new information about the uncertain future drove both the record stock volatility and the record …