We show analytically that the cross-sectional relation between idiosyncratic volatility estimated as the variance of … the left and has horizontal axis. This relation is uncovered for stocks of similar volatility and no abnormal return … estimated in the factor model. The sensitivity of the relation between idiosyncratic volatility and expected stock return to …

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

This paper introduces a new class of long memory model for volatility of stock returns, and applies the model on …

market seems to play a more important role in price discovery. Volatility spillovers across the two markets are examined by … using a bivariate EGARCH(1,1) model. This model is found to capture all the volatility dynamics. The results indicate that … the transmission of volatility is bidirectional. Any piece of information that is released by the cash market has an …

: the systematic and idiosyncratic jumps and the systematic and idiosyncratic diffusive volatility. By considering a general …

Theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk … premium. We empirically investigate the relationship between volatility of volatility and the equity risk premium, and the … relationship between the variance risk premium and the equity risk premium. We find that volatility of volatility alone explains 5 …