how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

The volatilities of Treasury and time deposit markets comove with equity volatility quite heterogeneously over time … volatility or, say, that of the Eurodollar LIBOR? How can we express these prices in a model-free format? Despite the success of … the Eurodollar. Pricing Treasury volatility in a model-free manner is a delicate issue for two reasons. First, volatility …

Eurodollar deposit volatility comoves with equity volatility quite heterogeneously over time, with correlations ranging … from negative to positive, and marked by periods of rapid movement. What is the price of time deposit volatility? How can … deposits such as the Eurodollar. Pricing time deposit volatility in a model-free manner is a delicate issue because the …

Credit volatility correlates quite modestly with equity volatility. Currently, only backward-looking indexes for credit … volatility exist. We derive model-free indexes of expected CDS index spread volatility that rely on CDS index option prices … percentage and basis point expected volatility, and show that basis point volatility can be priced in a model- free format even …