It is common practice to estimate the volatility-growth link by specifying a standard growth equation such that the … a biased and inconsistent estimate of the volatility-growth link. Our simulations show that this effect is large. Once … variance equation must include relevant control variables to estimate the volatility-growth link. …

The purpose of this paper is to examine the asymmetric relationship between price and implied volatility and the … demonstrate that the relationship between the volatility and market return as quantified by Ordinary Least Square (OLS) regression … is not uniform across the distribution of the volatility-price return pairs using quantile regressions. We examine the …