factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

asset pricing model. In equilibrium, volatility is endogenously driven by fear of not knowing the data generating process … yield curve and increases the volatility in asset and option markets. A structural estimation of the equilibrium model … explains the upward sloping term structures of interest rates, bond volatility, and option volatility, with only four in real …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …