) legs of the anomaly portfolios with the highest idiosyncratic volatility produces monthly abnormal returns ranging from 0 …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic … risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust … across 21 developed markets and that the global market volatility risk factor prices 21 developed market portfolios after …