This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa … volatility. This relationship remains robust in long-short portfolios, even after controlling for risk factors in the capital … investor attention intensifies asymmetric conditional volatility in the finance, technology, banking, and mining sectors …

Our aim in this paper is to analytically compute the at-the-money second derivative of the Bachelier implied volatility … curve as a function of the strike price for correlated stochastic volatility models. We also obtain an expression for the … short-term limit of this second derivative in terms of the first and second Malliavin derivatives of the volatility process …

We first review research about income and earnings volatility and second provide new UK evidence about the latter using … high quality administrative record data. The USA stands out as a high volatility country relative to the UK and other high …-income countries, but volatility levels have remained constant in these countries recently. Almost all research has considered …