volatility jump diffusion model …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … volatility. Our results hold for different measures of volatility such as implied volatility, EGARCH volatility from daily …

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

's optimal mean-variance portfolio and the amount of unhedged risk prior to maturity. Solutions assuming the cases where the … volatility, volatility-of-volatility, and Merton-jump diffusion are derived …

. This method is especially relevant for risk management purposes such as, for example, the computation of portfolio Value at … Risk and intra-horizon Value at Risk, as we show in detail in an empirical illustration …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a …

future volatility from both statistical and economic perspectives. Using seven major jump tests, we show that separating … jumps from diffusion improves volatility forecasting both in-sample and out-of-sample. Moreover, we show that these … statistical improvements can be translated into economic value. We find a risk-averse investor can significantly improve her …

returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and … than 4.63% per annum. In contrast, the variance risk premium (VRP), which strongly predicts excess returns, does not lead …