---
title: Volatility Dynamics, Return Predictability, and Leverage in the Campbell-Cochrane Model
url: https://www.ml-quant.com/papers/ssrn/4532711/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4532711
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4532711
featured: 2023-08-09
citations: 0
topic: Derivatives & Volatility
---


# Volatility Dynamics, Return Predictability, and Leverage in the Campbell-Cochrane Model

The article critiques the Campbell and Cochrane 1999 habit model, arguing it doesn't account for increased volatility during recessions, and proposes a model with cyclical leverage.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4532711
- Identifier: SSRN 4532711
- Released: 2023-08-05
- First featured: Quant Letter No. 11 (2023-08-09): https://www.ml-quant.com/issues/2023-08-09/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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