activities in the market. Our intraday risk-neutral moments also suggest that forecast increases in volatility and skewness lead …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …

.S. affects international stock market comovements. Results show that a shock to the VIX leads to increases in cross … revealed time pattern of the effect of the VIX may be explained in a behavioral framework through investors' attention …