It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while … uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

very simple hedging strategies can eliminate more than 80% of the bill volatility that would otherwise occur. Far from … that they would be exposed to risk from fluctuations in their electricity cost. The concern seems to be that a customer … larger than it had budgeted for. I analyze the magnitude of this risk, using demand data from 1142 large industrial customers …

volatility, thus providing an explanation for the "excessive volatility puzzle" of bond yields. In addition, the fluctuation in … the two groups' expectations and relative wealth also generates time-varying risk premia, which in turn can help explain …

reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …

provide hedging services but they are also subject to speculation because traders do not necessarily agree about their payoffs … towards increasing the opportunities for speculation rather than risk sharing …While the traditional view of financial innovation emphasizes the risk sharing role of new financial assets, belief …

Recently there has been a great deal of interest in modeling volatility fluctuations. ARCH models, for example, provide … parsimonious approximations to volatility dynamics. Here we provide a selective amount of certain aspects of conditional volatility …

What do academics have to offer market risk management practitioners in financial institutions? Current industry … assessments of market risk. Clearly, the demands of real-world risk management in financial institutions -- in particular, real …-time risk tracking in very high-dimensional situations -- impose strict limits on model complexity. Hence we stress parsimonious …