of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting … errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation measures are … of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …

The main challenge in empirical asset pricing is forecasting the future value of assets traded in financial markets … have shown promising forecasting results and significantly outperform traditional regression methods. Corresponding results … this background, this study aims to build the first out-of-sample forecasting model for CAT bond premia in the secondary …