term spread indicators, as determinants of the long-term risk of aggregated future asset prices. However, the subsequent …

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …

and risk features than very simple and very complex models. Combinations of two strategies help, in particular, to reduce … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

Inter-temporal risk parity is a strategy which rebalances between a risky asset and cash in order to target a constant … level of risk over time. When applied to equities and compared to a buy and hold strategy it is known to improve the Sharpe … ratio remains constant over time, the only benefit would arise from an inter-temporal risk diversification effect which is …

about the marginal risk-neutral distributions of S&P 500 returns and of relative changes in future expected volatility (VIX …). While the bivariate risk-neutral distribution cannot be inferred from the marginals, we propose a novel identification based … on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation and find it to be …