statistically significant. We do not find a strong relationship between realized volatility and next week's stock returns …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … additional determinants of future excess returns. Finally, we illustrate that the yield and volatility factors are closely …

volatility risks are not priced in unconditional models, but, consistent with theory, their factor loadings, conditional on VOV …This paper develops a general equilibrium model and provides empirical support that the market volatility-of-volatility … (VOV) predicts market returns and drives the time-varying volatility risk. In asset pricing tests with the market …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …