theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

used to estimate the two restrictions. The estimation of the CAPM restriction seems to be favorable to the theoretical …Time-varying risk premiums and CAPM betas for several assets traded on the Prague Stock Exchange are estimated within a …

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

Univariate dependencies in market volatility, both objective and risk neutral, are best described by long … volatility risk, displays far less persistent dynamics. Using intraday data for the Standard & Poor's 500 and the volatility … coherence between volatility and the volatility-risk reward is the strongest at long-run frequencies. Our results are consistent …

inflation expectations over nearly the entire sample due to the liquidity risk premia carried by the inflation indexed bond …

This study extends standard C-CAPM by including two additional factors related to firm size (SMB) and book …-to-market value ratio (HML) — the Fama–French factors. C-CAPM is least able to price firms with low book-to-market ratios. The …

can be shown to provide a much better explanation of equity market features than either the basic CAPM or CCAPM. .The …