Browsing by Subject "stochastic volatility"

Now showing items 1-3 of 3

    • Essays on the Predictability and Volatility of Asset Returns 
      Jacewitz, Stefan A. (2010-10-12)
      This dissertation collects two papers regarding the econometric and economic theory and testing of the predictability of asset returns. It is widely accepted that stock returns are not only predictable but highly so. This ...
    • Term Structure Dynamics with Macroeconomic Factors 
      Park, Ha-Il (2011-02-22)
      Affine term structure models (ATSMs) are known to have a trade-off in predicting future Treasury yields and fitting the time-varying volatility of interest rates. First, I empirically study the role of macroeconomic variables ...
    • Three Essays in Macroeconomics and Empirical Finance 
      Yeo, Hyosung (2016-05-10)
      We measure macroeconomic uncertainty and study its link to asset returns via a consumption-based model employing recursive preferences. We introduce a stochastic volatility model with two asymptotic regimes and smooth ...