, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

Despite their strong positive average returns across numerous asset classes, momentum strategies can experience … infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic …" states - following market declines and when market volatility is high - and are contemporaneous with market rebounds. We show …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … financial asset return volatilities, correlations, and distributions rely on restrictive and complicated parametric multivariate … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility …

volatility on international trade. A common explanation is the availability of hedging instruments. This paper examines the …. Second, for country pairs with large trade potential, exchange rate volatility deters goods trade to an extent much larger …

of a 3-dimensional panel of prices of 95 very disaggregated goods (e.g., light bulbs) in 83 cities from around the world …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

a counterfactual world without trade frictions in manufactures. Removing these trade frictions goes a long way toward …

The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated … volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads … estimate of the effect of the volatility on the spreads. Although the spread-volatility relation implied by the option model of …