-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of …

What are the implications of gasoline price volatility for the design of fuel economy policies? I show that this …

volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time … horizons, finding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is … particularly important for long-run uncertainty, while currency volatility and CEO turnover appear to equally impact short- and …

market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility … of oil prices. Our model predicts a large decline in this volatility …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …

-Gaussianity. Variance risk premiums on equity are very informative about risk aversion, whereas credit spreads and corporate bond volatility …

volatility of economic fluctuations. In a sample of 92 countries as well as a sample of OECD countries, we find that countries … with higher volatility have lower growth. The addition of standard control variables strengthens the negative relationship …. We also find that government spending-induced volatility is negatively associated with growth even after controlling for …

procedure. It is argued in this paper that part of the very large increase in interest rate volatility which resulted from the …

conditional volatility of income process. An important prediction of the model is that income volatility predicts future jumps … consumption volatility, but not by the changes in the consumption level. We show that the model can quantitatively capture these …