We investigate how the spectral risk measure associated with holding stocks rather than a risk-free deposit, depends on … the holding period. Previous papers have shown that within a limited class of spectral risk measures, and when the stock … price follows specific processes, spectral risk becomes negative at long periods. We generalize this result for arbitrary …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … increasing volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at … risk …

wide variety of stocks, bonds and options. Evidence suggests that both the expected return and the volatility vary over … considerable effort has been devoted to the modelling of time-varying volatility. Recent attention has moved to examining the … daily stock market volatility in a sample of significant emerging stock markets using an Asymetric Volatility Model (ASV …

a strong positive relation to conditional international equity and currency risk premia, as well as a close link to …

linear in time while skewness and kurtosis maintain high levels in perpetuity. Risk neutrally there is momentum in volatility … and mean reversion in skewness. Risk neutral volatility and skewness are inversely related while kurtosis is positively …For underlying asset motions calibrating skewness and kurtosis beyond the volatility it becomes possible to consider …

introduce a superior volatility estimator for high-frequency analysis. Leveraged ETFs, which attempt to reproduce two or three …-based subsampling and averaging high-frequency volatility estimator. Tracking error jumps are found to occur in one-fourth of trading … days for leveraged ETFs that track the S&P 500 index and financial sector, and the economic significance of jump risk is …

options under low-dimensional stochastic volatility models. We derive multidimensional transforms which allow us to construct … efficient path-independent lattices for virtually all low-dimensional stochastic volatility models given in the literature … including one volatility factor-based stochastic volatility (SV) models, two volatility factors-based SV models, stochastic …