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 …

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 …

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 …

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

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 …