Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we …-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors …

It turns out that stock return volatility responds asymmetrically following negative stock returns. A negative return … shock causes next-period volatility to increase more than that of a positive return shock. The article examines the … asymmetric property of return volatility using the volatility feedback hypothesis in the context of the Finnish stock market …