leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

-variance expected utility, we find that a rise in exchange rate volatility can reduce both supply and demand for commodities and … their volatility can be transmitted to the domestic market as well as the dynamic relationship between intermediate and …

funds and swap dealers cause price changes or volatility. We find little evidence that speculators destabilize financial … markets. To the contrary, speculative trading activity largely reacts to market conditions and reduces volatility levels …, consistent with the hypothesis that speculators provide valuable liquidity to the market. These results hold across a variety of …

Funding liquidity, i.e., the ease with which firms, investors and consumers can obtain funding, is a key property of … macroeconomic aggregates. This highlights some potentially destabilizing properties in recent liquidity cycles …

This paper proposes the new concept of stochastic leverage in stochastic volatility models.Stochastic leverage refers … stochastic volatility process. We provide a systematic treatment of stochastic leverage and propose to model the stochastic … tractable and allow for a direct economic interpretation. In particular, we propose two new stochastic volatility models which …

It is difficult to predict stock market returns but relatively easy to predict market volatility. But volatility … produces a formula in which returns become a function of volatility and therefore become somewhat more predictable. We show … strategy also smooths out volatility variation over time, reduces the kurtosis of daily returns, reduces maximum drawdown, and …