how these volatility measures can be used for risk management. We find that momentum risk management significantly …We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …