We show that there is strong commonality in the volatility of a wide range of diversified equity portfolios. Common … factor volatility (CFV) exists even when factor or anomaly returns are market-adjusted and does not appear to be attributable … idiosyncratic volatility, implying that a common volatility feature pervades the entire spectrum of equity return variation. Models …

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our …

We investigate the question whether macroeconomic variables contain information about future stock volatility beyond … that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve …'s Survey of Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher …

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond … that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional … Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher growth rates is associated …