In contrast to earlier decades, since the early 2000s, the average idiosyncratic volatility of stocks has fallen back … to its pre-1990s level. Here, we examine whether decreasing volatility still helps to explain the cross … average bond returns and lag idiosyncratic volatility are positively associated. The average returns on bonds with high …

direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility … implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …

intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been … studies to date have tended to focus on linear regression methods in predicting volatility. Here, we show that non … improves the prediction accuracy of abnormal stock return volatility. The fact that the length of news articles is more …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

The option implied volatility spread and skew predict stock returns. These variables also reflect the expected cost of … stock returns; however, the volatility spread and skew do not once this implied fee is considered. Results are similar for a … yet in stock prices. These findings indicate that the volatility spread and skew predict returns because they proxy for …