This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility … normal levels. We investigate how the risks in convergence trading can affect price volatility in a form of positive feedback …

volatility and in the compensation for volatility risk …Interest rate volatility, as implied by swaptions prices, rose in all major economic areas between 2001 and early 2004 … structure has flattened. The rise and fall of US dollar implied volatility reflected changes both in expectations of realized …

We explore the stock market and option implied volatility response of the oil and gas industry to four policy events … Drilling (CAAR -10.5%) most severely affected. This is further supported by an increase in implied volatility and by a … indicated that investors are pricing current policies when examining climate risk and that, in this respect, the Paris agreement …

We study the effect of a bond's place in its issuer's maturity structure on credit risk. Using a structural model as … motivation, we argue that bonds due relatively late in their issuers' maturity structure have greater credit risk than do bonds … results highlight the importance of bond-specific credit risk for understanding corporate bond prices …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

Since 1965, average idiosyncratic risk (IR) has never been lower than in recent years. In contrast to the high IR in … idiosyncratic risk. Models that use firm characteristics to predict firm-level idiosyncratic risk estimated over 1963-2012 can …

We examine the information content of the CBOE Crude Oil Volatility Index (OVX) when forecasting realized volatility in … volatility. In out-of-sample forecasting we find that econometric models based on realized volatility can be improved by … including implied volatility and other variables. Our results show that including implied volatility significantly improves …