common idiosyncratic volatility (CIV) factor, defined as the equally weighted average of the idiosyncratic volatilities in … foreign exchange (FX) volatility risk. Furthermore, CIV risk is correlated with cross-country income risk faced by households …

We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …

the volatility for over hundred countries around the world. We used the monthly political risk data from the International … governance. Further monthly volatility is constructed from the daily exchange rate returns within each month for the period of … the floating exchange rate. The results also confirm that there is more volatility in exchange rate when political …

volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …