consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …

market, size, value, momentum, investment, profitability, and volatility. The value-added induced by factor management via ….g. factor volatility or factor valuation. For the majority of factors, our strategies appear successful especially in recessions …

of 7 assets (EUR/USD, GBP/USD, USD/CHF and USD/JPY exchange rates and Light Crude Oil, E-Mini S&P 500 and VIX Futures … assets except for the VIX) ending in the second half of 2015. The proposed trading system entered long and short trades in …-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

volatility. This empirical phenomenon is shown to arise within a tractable accounting-based valuation model that allows for risk … aversion and stochastic earnings volatility. The model predicts that expected stock (stock return volatility) returns are … to explain price dynamics across stock and volatility markets …