consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …

market index. The tail loss measure is motivated by the results of the extreme value theory, and it is computed from observed …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … market returns. We employ the innovations in implied volatility indices of seven major international markets as our … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous …

volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …

underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be …