This paper investigates the role of volatility risk on stock return predictability. Using 596 stock options traded at … 2010 we examine the relation between different idiosyncratic volatility measures and expected stock returns for a period … that involves both the dotcom bubble and the recent financial crisis. We first show that implied idiosyncratic volatility …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility … the RV framework. We compare the predictive ability of the two against seven classical and multifractal volatility models …

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model …-free total implied volatility into various components using different segments of the cross section of out-of-the money put and … call option prices. We find that only model-free volatility computed from the cross section of out-of-the-money call option …

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 …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …

conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out …

Carlo method, to facilitate the parameter estimation. Our simulation study shows that the GG estimation method outperforms … the benchmark quasi-maximum likelihood estimation method. We then proceed to the empirical study of seven stock markets …