This study provides evidence of the US implied volatility's effect on international equity markets' returns. This … evidence has two main implications: i) investors may find that foreign equity returns adjusting to US implied volatility may … not provide true diversification benefits, and ii) foreign equity returns may be predicted using US implied volatility …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model …-free total implied volatility into various components using different segments of the cross section of out-of-the money put and … call option prices. We find that only model-free volatility computed from the cross section of out-of-the-money call option …

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our … results show that the US EPU index has the best forecasting power for crude oil return volatility over the long-term, whereas …

forecasting horizons. Therefore, a long memory volatility model compared to a short memory GARCH model does not appear to improve …