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 …

In this work we analyze, explore and measure two of the most important concepts for the theory of storable commodity … influenced by the spot volatility. This negative impact of spot volatility is also verified for the risk premium, with the latter … are Phase, market and data span dependent. Moreover, results are independent on the volatility forecast used and important …

long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross- equation … volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for …. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive risk …

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 …

futures prices did not respond to movements in bond prices. All adjustment towards equilibrium took place in the spot market. …

volatility feedback effect theory assumes that return shocks can be caused by changes in conditional volatility through a time …We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence … on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility …

The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …