We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

The quality of the asymptotic normality of realized volatility can be poor if sampling does not occur at very high frequencies. In this article we consider an alternative approximation to the finite sample distribution of realized volatility based on Edgeworth expansions. In particular, we show...

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential...

Estimation and forecasting for realistic continuous-time stochastic volatility models is hampered by the lack of closed-form expressions for the likelihood. In response, Andersen, Bollerslev, Diebold, and Labys ("Econometrica", 71 (2003), 579-625) advocate forecasting integrated volatility via...

We study bootstrap methods for statistics that are a function of multivariate high frequency returns such as realized regression coefficients and realized covariances and correlations. For these measures of covariation, the Monte Carlo simulation results of Barndorff-Nielsen and Shephard (2004)...

We present CoMargin, a new methodology to estimate collateral requirements for central counterparties (CCPs) in derivatives markets. CoMargin depends on both the tail risk of a given market participant and its interdependence with other participants. Our approach internalizes market...

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...