Recent studies show that volatility-managed equity portfolios realize higher Sharpe ratios than portfolios with a … volatility targeting on the Sharpe ratio is negligible. However, the impact of volatility targeting goes beyond the Sharpe ratio …-tail” events tend to be less severe, as they typically occur at times of elevated volatility, when a target-volatility portfolio …

creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …'s stock market volatility performing the best on several (but not all) dimensions. Their learning-based model's volatility … volatile than the David and Veronesi (2013) stock market volatility …

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more …

We examine the extent to which equity market returns volatility is affected by major macroeconomic announcements in an … volatility when we decompose the volatility on a monthly, daily, and subsample period basis. Furthermore, while we find that most … domestic macroeconomic announcements impact on the volatility, contrary to the literature, we find no evidence of impact from …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …

equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that … premium in a DSGE model that includes time-preference, technology, investment, and volatility shocks. Time-preference and … historical stochastic volatility and equity risk premium series display pronounced countercyclical fluctuations …