require to bear the risk of fluctuations in stock market volatility. We develop a model in which stock volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

require to bear the risk of fluctuations in stock market volatility. We develop a model in which return volatility and … volatility risk-premia are stochastic and derive no-arbitrage conditions linking volatility to macroeconomic factors. We estimate … realized volatility. We find that volatility risk-premia are strongly countercyclical, even more so than standard measures of …

particular, an increase in the volatility of idiosyncratic productivity shocks significantly decreases aggregate output without …