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 …

premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk …

This study shows that market volatility affects stock returns both directly and indirectly through its impact on … liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk … premiums but also greater illiquidity premiums that are associated with higher market volatility. In particular, we show that a …