In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

volatility skew (forward variance). An excellent agreement, in both graphical and regression forms for the scale and patterns of …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

This paper examines mean and volatility spillovers between the Turkish stock market with international stock, exchange …

against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices …

model specifications, volatility effects and other robustness considerations continue to support our results. These results …

This note sketches the issues that arise while interpreting the relation between macroeconomic volatility and financial … are positively related to consumption growth volatility. Therefore, from the perspective of this workhorse often employed … in the academic debate, the persistent reduction in macroeconomic volatility can be considered a cause for the low …