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 …

this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity … country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

positive linear pricing rule can be represented as using state prices, risk-neutral expectations, or a state-price density … preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the … APT, as well as complete-markets pricing. In the case of the CAPM, the first-order conditions link nicely to the …

argues that to make sense of asset market behavior one needs a model in which the market price of risk is high, time …

(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial …