We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with … the predictable component in stock returns into two parts: the time-varying price of volatility and the time …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with … the predictable component in stock returns into two parts: the time-varying price of volatility and the time …

innovations to volatilities are correlated across assets and therefore can be used to measure and hedge geopolitical risk. We … introduce a definition of geopolitical risk which is based on volatility shocks to a wide range of financial market prices. To … measure geopolitical risk, we propose a statistical model for the magnitude of the common volatility shocks. Accordingly, a …

a single common factor and idiosyncratic returns. High frequency correlations mean revert to slowly varying functions …

expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of … daily stock returns. Portfolio-level analyses and firm-level cross-sectional regressions indicate a positive and significant … relation between dynamic conditional beta and future returns on individual stocks. An investment strategy that goes long stocks …