volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the …While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the …

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …

errors significantly impact price volatility. Furthermore, our models have the capability to discern nuanced distinctions …

The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …