We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …

is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for … relationship is nonlinear. Volatility feedback impacts the whole distribution and not just the conditional mean …

This paper investigates the return-volatility relation by taking into account the model specification problem. The … market volatility is modeled to have two components, one due to the diffusion risk and the other due to the jump risk. The … existence of leverage effects, the return-volatility relations are determined by interactions between risk premia and leverage …