Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

We conduct a volatility decomposition to identify the source of performance differences between low volatility and high … volatility mutual funds. A higher level of return covariance of fund holdings is associated with more fund-level exposure to the … idiosyncratic volatility effect. Average security-level variance of fund holdings is only weakly associated with idiosyncratic …

We develop a new variational Bayes estimation method for large-dimensional sparse vector autoregressive models with …