Weekly option writing returns in currency markets are (volatility-) regime dependent: they are low when implied … volatility is low, and high when implied volatility is high. However, a time-varying volatility risk premium (ex-post) might only … be part of the explanation. Daily exchange rate returns show (volatility-)regime dependent departures from normality and …

volatility of both short and long rates and 25% of the volatility of the stock market. Second, the transmission of US shocks to …

There have been increasingly frequent claims that risk parity strategies are hiding an implicit short volatility … exposure or behave as though they are short volatility. In order to test the veracity of these claims, we simulate stylized … versions of three-asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we …

We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to … is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple … stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties …