This paper studies equity price volatility in general equilibrium with news shocks about future productivity and … reduces asset price volatility. This paper shows that introducing news shocks in canonical dynamic stochastic general … equilibrium model may not reduce asset price volatility under plausible parameter assumptions. This is because, in general …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

standard stochastic volatility models and, (ii) the term structure of the at-the-money volatility skew is approximated by a …:(i) has been explained by using fractional volatility model with Hurst index H>1/2, (ii) is proved to be satisfied by a {\it … rough} volatility model with H<1/2 under a risk-neutral measure. This paper provides a solution to this fractional puzzle in …

-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract …, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for … that the information environment plays an important role in explaining the market risk premium volatility …