volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

Financial decision makers often consider the information in currency option valuations when making assessments about … future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …

-factor market model. Second, we study whether both returns and volatility of bank stock prices changes upon the disclosure of stress … of stress tests provides new information to markets. Banks performing poorly in stress tests experience, on average, a … reduction in returns and an increase in volatility, while the reverse holds true for banks performing well. Banks performing …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …

The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her …

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …