We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … incorporating monetary policy and shocks with time-varying volatility. The predictability decline is consistent with changes in both … volatility, more persistent shocks with reduced volatility explain the lower predictability …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

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 …

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