liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and …

-free and risk-neutral, derived from available option data. Depending on its particular de…nition, each index represents a …

We study risk and return properties of capital structure arbitrage strategies aiming to profit from temporal mispricing … more than 15% of the returns is explained by common risk factors. …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …

risk of thestrategies increases proportionally. Second, we test whether the strategies can be implementedsuccessfully in …, we examine several popularexplanations for the excess returns. We find no evidence of higher market risk or lower …

from other potential explanations like volatility feedback, the time-varying risk premium, and a down-market effect. …Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … volatility smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage effect …

replicating portfolio is extremely effective asa hedge against the interest rate risk involved in the GAO, that thestatic …

supply and test whether power futures prices contain information about expected future spot prices and risk premiums and …