This study investigates the economic and financial drivers of volatility changes and integrates them into stock market volatility forecasting. We first collect a diverse set of predictor variables and analyze them within a unified framework. We discover that only a small number of variables...

Incentive fees exist in the hedge fund industry to solve the principal-agent problem. However, due to indirect incentives, there continues to be a misalignment between fund managers’ and investors’ interests. This paper analyzes whether investors are able to mitigate this agency problem by...

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset allocation. Based on machine learning and model averaging approaches, we integrate the drivers’ predictive information to forecast market volatilities. Using various evaluation...