can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …

We disentangle the risk of time-varying volatility and return in a consumption-based asset pricing model by introducing … stochastic volatility of consumption growth to asset prices moving in volatility units instead of moving in time. This time …-change approach yields additional insights to risk premia's composition. We explore stochastic volatility empirically where it eases …

This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium … options, such securities hedge against volatility risk and command lower volatility risk premia than the equities of value or … financially healthy firms. Conversely, corporate debt will tend to command large volatility risk premia, allowing the model to …