of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

factors help us understand the idiosyncratic volatility puzzle found in Ang, Hodrick, Xing, and Zhang (2006). They reduce the … return difference between portfolios with the smallest and largest idiosyncratic volatility by more than 60%, although the …

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 …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

incomplete financial markets may increase volatility in asset prices significantly …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

) methodology to daily stock prices of the largest 40 U.S. financial institutions to construct a volatility connectedness index. We …, profitability, asset growth, debt, illiquidity, idiosyncratic volatility and downside beta. They are, however, driven by smaller …