lower returns and higher volatility than adverse herding … intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of …

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 …