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

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility … without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days … higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling …

-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long …

shares, the market price of risk, the risk free rate, the bond prices at different maturities, the stock price and volatility …

allocate resources. However, when trust is eroded with high volatility and unpredictable events, financial crises are amplified … economic recovery. Using a multi-factor model, I find that intermediary leverage, volatility, and more importantly their … between intermediary leverage and volatility to enable financial intermediaries to better manage their leverage in a rapidly …

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

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 …