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 …

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

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 …

transition conditional correlation GARCH (STCC-GARCH) specifications, controlling for credit risk in mean and variance equations …

volatility: first, low rates (mechanically) augment the excess return to be gained by investing in riskier assets and second, they … are found to dampen volatility of riskier assets in the portfolio. The inverse relationship between portfolio instability …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …