degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy … stocks and when to shift to the risk-free rate. The important issue regarding the predictability of returns is assessed. It …

risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling …Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy …

derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …