investigate the two most prominent puzzles related to low-frequency stock prices: The conditional volatility of price returns, and … to approximate the conditional volatility, quantified with a GARCH(1,1) process, that is observed in empirical price data …

are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …

correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model … to generate stock-bond correlations that are in line with empirically observed figures. …

We identify local and global factors across international bond markets that arepoorly spanned by the traditional level …, slope and curvature factors but havestrong forecasting power for future bond excess returns. Local and global fac-tors are … jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …