volatility over the benchmark rational expectations case and exactly matches the standard deviation of consumption. Finally, the … model generates time varying volatility consistent with the data on quarterly equity returns …

second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …

second simple component to account for the remaining contribution to the volatility. This allows the analytical calculation …

deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has … inspired the outline of the Volatility Asset Pricing Model (VAPM) based on the market’s expected volatility and the serial …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …

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 …

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 …

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …