How important are volatility fluctuations for asset prices and the macroeconomy? We find that a rise in macroeconomic … volatility is associated with a rise in discount rates and a decline in consumption. To study the impact of volatility we provide … a framework in which cashflow, discount-rate, and volatility risks determine risk premia. We show that volatility plays …

-run risks model of Bansal and Yaron (2004) by allowing both a long- and a short-run volatility components in the evolution of … economic fundamentals. With this extension, the new model not only is consistent with the volatility literature that the stock … market is driven by two, rather than one, volatility factors, but also provides significant improvements in fitting various …

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 …

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is … capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross …

volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in …