parameters of the best linear approximation is characterized via its support function, and limit theory is developed for the …

-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …We develop measures of time-varying risk aversion and economic uncertainty that are calculated from financial variables … dynamics among asset-specific cash flows, macroeconomic fundamentals and risk aversion feature heteroskedasticity and non …

volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … preferences that generate time-varying risk over the cycle, and so account for observed asset pricing fluctuations, and for human …

results in a state-dependent idiosyncratic risk premium that is higher when average idiosyncratic volatility is low, and vice …In Merton (1987), idiosyncratic risk is priced in equilibrium as a consequence of incomplete diversification. We modify … his model to allow the degree of diversification to vary with average idiosyncratic volatility. This simple recognition …

shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts … short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike … longer-dated options, they are largely insensitive to the risk of intertemporal shifts in the economic environment, i …

assumptions and hence afford estimates of notional volatility that are flexible yet consistent (as the sampling frequency of the …Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility …

shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …