frameworks and the lack of tools for estimating and managing these effects. This research aims to measure the volatility of … models, the results show that the PARCH model is the best for fixed-income indices volatility modeling. …

calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums …

Managed volatility strategies adjust market exposure in inverse relation to a risk estimate, to stabilize realized … portfolio volatility through time. Our paper examines strategy performance from an investment practitioner perspective. Using … compared with a buy-and-hold benchmark, on average, but with some variation. Managed volatility strategies achieve robust tail …

Utilizing VAR-DCC-MVGARCH model and volatility spillover index, we examine international spillovers and spillbacks … between SMICs and the U.S. Results show that SMICs and the U.S. present dynamic and asymmetric volatility spillovers and … conditional variances are stronger than previous short-term innovations. Volatility spillbacks from China, South Africa and Mexico …