investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …

upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on …

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that … the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities …

We empirically examine whether investors demand a systemic component of Volatility Risk (VRP-beta) using the stock … liquidity, but unrelated to the size and volatility of the stock. Our results are robust to alternate specifications of realized … volatility calculated at different sampling frequencies …

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