incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …-term real risk-free interest rate, real consumption growth, and real dividend growth. Our results indicate that, over short and …

hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric …-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most … volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should …

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory …Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …

premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk … returns with consumption growth and a low and constant risk aversion. The model captures a high and countercyclical equity …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on … macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the …

political variables on both stock returns and volatility is scant and mixed. We investigate whether this weak and conflicting …. Our results show that the case for effects of political events on stock market volatility is stronger than the case for …

and the specification form of the volatility process when modelling volatility with the parametric GARCH family models …. This paper examines the Chinese stock market volatility and the asymmetric effects in the Chinese stock volatility by a … empirical result from the GAMNP model demonstrates better performance for the volatility forecasts, particularly in the out …