The volatility premium is a well-documented phenomenon, which can be approximated by the difference between the … previous month level of the VIX Index and the rolling 30-day close-to-close volatility. In concordance with existing literature …, we show evidence that VIX is generally above the 30-day rolling volatility giving rise to the volatility premium, so that …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

This article empirically investigates the volatility spillover of stock returns from the market to disaggregated … from 1973 to 2008. The key findings are two-fold. In the UK, whilst some industries are more sensitive to market volatility … volatility of foreign markets seems to have more impact than the domestic markets on some key industries in the US, suggesting …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

-1996 period to highlight two stylized facts of aggregate U.S. employment - greater volatility in recessions than expansions and … reduced volatility since the early 1980s. These patterns are not, however, apparent in each sector of the economy. Asymmetric … volatility is only evident in manufacturing and trade; other sectors, such as construction or the narrowly defined services …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely con … ; yield curve risk ; stochastic volatility ; factor models ; macroeconomic fundamentals …

autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term … illustrate that the yield and volatility factors are closely related to industrial capacity utilization, inflation, monetary … policy and employment growth. -- Term Structure Modelling ; Yield Curve Risk ; Stochastic Volatility ; Factor Models …