mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for … Bansal, Kiku, and Yaron (BKY, 2007a). BY's calibration counterfactually implies that long-run consumption and dividend growth …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …