frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

We examine the market for U.S. equity real estate investment trusts (REITs) for evidence of the volatility effect, in … which low volatility stocks tend to outperform high volatility ones, as has been found in the general equity market by prior … research. While there is some evidence of a volatility effect in the first ten years of the sample, this disappears in a more …

We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …

We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non …-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time …-varying, suggesting that the VS-return predictability could be an artifact of firms’ sensitivities to aggregate volatility. Examining this …

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 …