The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the …-realized variance. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is accounted for …

-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but … with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while …

This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility … series and two stock index return series. We find that estimates of volatility using the model can differ dramatically from …

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

This paper extends the Bayesian semiparametric stochastic volatility (SV-DPM) model of Jensen and Maheu (2010). Instead …). This allows for time variation in the return density beyond that attributed to parametric latent volatility. The new model … model improves density forecasts, compared to the SV-DPM, a stochastic volatility with Student-t innovations and other fat …

measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

historical stochastic volatility and equity risk premium series display pronounced countercyclical fluctuations …We develop a Bayesian Markov chain Monte Carlo algorithm for estimating risk premia in dynamic stochastic general … equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that …

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 …