-varying volatility, correlation and tail systemic risk of shipping stock markets, and consequently, have implications for risk management …This paper investigates the dynamics of stock price volatility for different vessel-type segments of the U.S, water … behavior and tail risk dependence. The role of mixture distributions in predicting future volatility is studied from both …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …