both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

stock exchange market. We analyze the impact of such halts on the main market factors: return, volatility and volume. Our …

We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long … returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance …

volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: expected returns increase for stocks when volatility increases from moderate to high levels, while … risk is a nonlinear function of market volatility …