based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

We analyze the impact of sentiment and attention variables on volatility by using a novel and extensive dataset that … for realized volatility when controlling for a wide range of economic and financial predictors. Using a penalized … improve volatility forecasts, although the improvements are of relatively small magnitude from an economic point of view …

. 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 …

its joint impact with heterogeneous beliefs about news content. Investors trade volatility derivatives against each other … positions. When disagreement about news arrival frequency is low, volatility exhibits mean reversion because extreme optimists … arrival rate leads to volatility persistence. When news is absent in such environments, volatility sellers dominate, and …

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

This paper examines the use of survey-based measures in volatility forecasting. We argue that the dispersion of … individual mean return forecasts bridges the gap between individual volatilities and aggregate volatility. We use data coming … from a repeated survey to capture volatility and mean return expectations of investors, and to produce aggregate volatility …

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock … studies, the range-based volatility forecasts outperform in terms of statistical evaluation, Value-at-Risk calculation, and … option pricing. However, return-based volatility forecasts prove superior in the evaluation of market risk capital …

We investigate the effects of investor sentiment on returns and volatility of eight different commodities. Our findings … suggest that sentiment has a predictive power on return and volatility of the commodities. Fundamentally, commodities return … and volatility are positively associated with the sentiment. Furthermore, the empirical evidence suggests that the …

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international … augmented Empirical Similarity model that combines three volatility components, defined over different time horizons, using the … similarity measure between lagged Google search queries and volatility. Results show that investor attention positively affects …