• 1 Introduction
  • 2 Measures of volatility and empirical methods
  • 2.1 Measures of volatility
  • 2.2 Basic empirical specification and testable hypotheses
  • 2.3 Cross-sectional tests
  • 2.4 Time-series tests
  • 3 Data and variables
  • 4 Cross-sectional tests
  • 5 Time-series tests
  • 6 Robustness checks
  • 6.1 Controlling for expected changes in volatility
  • 6.2 Nonlinearities in the return - Δ V O L relation
  • 6.3 Alternative specifications
  • 6.4 Leverage hypothesis
  • 7 Conclusions
  • References