-Estimator whose inputs (period used for local volatility calculation and confidence level used for jump detection) were also optimized …

Although there is an extensive literature on the impact of volatility on asset returns correlation, investigating this … analysis between rolling correlation and volatility index (VIX). Results showed more impact of volatility on the midterm … study contributes to existing literature by comparing the volatility impact across a broad range of assets and multiple time …

of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is …

A low volatility portfolio aims to exploit the fact that, in the long run, low-risk stocks yield higher risk …-adjusted returns than higher-risk stocks. But the low volatility portfolio’s lower beta – via the allocation effect – may drag down … returns at times. We dissect the performance into the low volatility anomaly and the allocation effect, analyze the relative …

We analyze the cross-sectional relation between expected idiosyncratic volatility and stock returns. The expected … idiosyncratic volatility is conditioned on macro-finance factors as well as traditional asset pricing factors. The macro … between expected idiosyncratic volatility and stock returns reverses to a positive one when accounting for the macro …