link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

We develop a discrete-time affine stochastic volatility model with time-varying conditional skewness (SVS). Importantly …, we disentangle the dynamics of conditional volatility and conditional skewness in a coherent way. Our approach allows … autoregressive conditional heteroskedasticity (GARCH), and stochastic volatility with jumps (SVJ) models. Our results are not due to …

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing … models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we … review the existing empirical literature in forecasting volatility of financial time series. Particularly, we decompose the …

addition, our model suggests that optimal monetary policy is not concerned with stock price volatility, does not attempt to …, producing lower inflation volatility when compared to the constant money supply policy rule …

volatility and shocks the cross-section of stock returns. Due to agent's asymmetric aversion, financial stress affords positive …

for identifying intraday volatility jumps in the diffusive covariance matrix of asset pairs. Our method avoids model …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …