that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …

a regime-switching model and find evidence for the existence of a high volatility regime, in which returns are more …

-of-sample volatility of optimized portfolios from each model. A few factors capture the general covariance structure but adding more … yield similar results. Using a tracking error volatility criterion, larger differences appear, with particularly favorable …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded …

We model the conditional mean and volatility of stock returns as a latent vector autoregressive (VAR) process to study … although the conditional correlation between the mean and volatility is negative, the unconditional correlation is positive due … and without relying on exogenous predictors. We find a strong and robust negative correlation between the innovations to …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

. First, subjective probability adjustments add volatility to the stochastic discount factor, and can rationalize any pattern … consistent with empirical results reported here, and in the previous literature documenting stochastic discount factor volatility …. Several recent theories of stochastic discount factor volatility can, from the aggregate point of view, be interpreted as …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …