, the two-component DCC-MIDAS model of correlation Colacito, Engle & Ghysels (2011) is used and extended to incorporate a … third correlation frequency component. Subsequently, macroeconomic and financial variables are studied as determinants of … each component. We show that the daily correlation component is driven by financial market factors, while the monthly …

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant … model specifications, volatility effects and other robustness considerations continue to support our results. These results …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

sovereign debt crisis. A dynamic conditional correlation (DCC) multivariate GARCH model is used to estimate to what extent the …

"momentum crashes." We find that the high uncertainty of momentum strategies is sourced from the cross-sectional volatility of … individual stocks. Stocks with high realised volatility over the formation period tend to lose momentum effect, while stocks with … low realised volatility show strong momentum. A new approach, generalised risk-adjusted momentum (GRJMOM), is introduced …

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia … positive and statistically different from zero. Moreover, the risk premium of the market volatility risk premium beta is … volatility and return segments of the market. On average, common factors in both segments explain 90% of the variability of …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …