frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react … volatility …

ambiguity can explain high expected stock market returns and excess volatility and kurtosis of stock market returns. Moreover …

the index stock volatilities and aggregate stock market volatility, and give rise to countercyclical Sharpe ratios. Trades …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal … market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

accounts relative to the population; and small fractions of owners' wealth in those accounts. Our findings strengthen the case …

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may …