Recent work in asset pricing has focused on market-wide variance as a systematic factor and on firm-specific variance as idiosyncratic risk. We study an alternative channel through which the variability of financial market returns may help our understanding of cross-sectional price formation in...

The dependence between the magnitudes of discontinuous changes in asset prices and contemporaneous discontinuous changes in volatility (co-jumps) is a fundamental aspect of the price process contributing, among other effects, to skewness in the return distribution. Yet, its nature has been...

A novel closed-form pricing formula for short-maturity options is employed to jointly identifyequity characteristics (spot volatility, spot leverage, and spot volatility of volatility) which havebeen the focus of large, but separate, strands of the literature. Interpreting equity as a call...