we progress through the day. Overnight returns are the most significant in contributing towards the volatility for any …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long … that characterize long-term correlation patterns. We associate such term behavior with low frequency economic variables … improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. -- Factor models ; Low …

ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …

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 …

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 …

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

quantify inter-market relations. The approach is based on the correlations between the market index, the index volatility, the …