We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …

liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA …) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a …

measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models …. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …

volatility dynamics of the cryptocurrency market, realized volatility measures computed from different frames (1m, 5m, 15m, 30m …, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

We investigate the question whether macroeconomic variables contain information about future stock volatility beyond … that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve …'s Survey of Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher …

which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …