Based on the recent developments in the high-frequency econometrics and asymmetric GARCH modeling literature, I develop a novel model that accounts for the volatility feedback and leverage effects, effectively incorporating signed continuous and jump components of the realized variance in the...

We investigate the relationship between long-term U.S. stock market risks and the macroeconomic environment using a two component GARCH-MIDAS model. Our results provide strong evidence in favor of counter-cyclical behavior of long-term stock market volatility. Among the various macro variables...

Some important puzzles in macro finance can be resolved in a model featuring systematically varying volatility of unpriced shocks to firms׳ earnings. In the data, the correlation between corporate debt and stock market valuations is low. The model accounts for this via the opposing effect of...

We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a convex combination of unobserved GARCH components where the...

We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a convex combination of unobserved GARCH components where the...

The main goal of this paper is to study the cross-sectional pricing of market volatility. The paper proposes that the market return, diffusion volatility, and jump volatility are fundamental factors that change the investors’ investment opportunity set. Based on estimates of diffusion and jump...

This paper models different components of the return distribution which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. This mixture captures occasional large changes in price, due to the impact...

We present a novel GARCH model that accounts for time varying, state dependent, persistence in the volatility dynamics. The proposed model generalizes the component GARCH model of Ding and Granger (1996). The volatility is modelled as a convex combination of unobserved GARCH components where the...