We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the … sacrificing growth rate to invest proportion in risk free assets. Simulation results and China commodity futures empirical results …

This paper aims at providing new insights on the pricing of aggregate volatility risk by incorporating investor … sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both … cross-sectional and time series analysis, we investigate the effect of the exposure to aggregate volatility risk on stock …

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … field and the real financial industry. With the proposal of China's "dual carbon" target, green stocks have gradually become … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of …

and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … horizons, revealing that correlation is sensitive to time horizons - overall and in terms of responses to heightened volatility …

Bitcoin is regularly referred to as new gold, digital gold or gold 2.0. If Bitcoin is indeed gold-like the correlation … of Bitcoin and gold returns should be positive. We estimate the correlation of the two assets across time, across … different return frequencies and across quantiles and find a near-zero correlation inconsistent with the claimed similarity. We …

-specific news, thus reducing the firm-specific component of total volatility. As a result, prices comove more strongly with each …

This paper investigates the time-varying correlation and the volatility behaviour of the New Age Technology (Industry 4 … COVID -19 pandemic on the volatility behaviour and the time – varying correlation of these indices. Risk measures – VaR and … not exhibit significant increase in volatility during the Global Lockdown Crisis. Correlation generally increased for all …