-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant … estimators to the standard realized 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 …

generates stock volatility that is higher than long-horizon dividend volatility, even with constant market prices of risk …

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 …

-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …