upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … state variables and parameters. I show that infrequent, large and relatively transitory macroeconomic uncertainty shocks …, the onset of the second Gulf War, and the great financial crisis of 2008-2009. I compute macroeconomic uncertainty as the …

In this paper, we explore the relation between information uncertainty and S&P 500 index option returns. Since … stochastic process independent with economic fundamentals. Such information uncertainty is able to generate time … test the model implication, empirically, we construct several proxies for information uncertainty. Consistent with model …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and … macroeconomic uncertainty factor is the return on a long/short portfolio of equity options, built on the basis of how implied … volatilities change around scheduled macroeconomic announcements. I find that macroeconomic uncertainty is priced in the cross …

foreshadow future low worldwide economic activities and high political uncertainty. The predictive ability of the U.S. volatility …