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 …

Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model … consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive Gamma process. We construct a …

directly connected to independent risks and individually rewarded by the market for their level of risk. This can be achieved … through factor-based investing, which relies on the observation that most return and risk characteristics for all asset … based on combining factors. We have also analyzed implementation details and the factor risk parity strategy.Then we …

to this measure as financial volatility. First, I show that the idiosyncratic risk highlighted by models with a financial … model and structural vector autoregressions, I show that exogenous movements in financial volatility cause substantial and … evidence of a feedback effect between credit spreads and financial volatility …

factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …