even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with …

The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns … through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend … strip futures, this paper finds that volatility feedback effects of dividend strips exist and decrease with the horizon …

in volatility. The economic rationale for the effect is still controversial. The competing explanations have different … implications for the origin of the relationship: Are volatility changes induced by index movements, or inversely, does volatility … implied volatility and index return in Germany based on Granger causality tests and impulse-response functions. Our dataset …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

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 …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …