We test the existence of a time-series relationship between the aggregate idiosyncratic volatility and the market index … return at the global level by introducing various global measures of aggregate idiosyncratic volatility. We offer four … definitions of aggregate global idiosyncratic volatility (GIVOL) based on factor models and two other definitions, which are free …

We propose a new method to model hedge fund risk exposures using relatively high frequency conditioning variables. In a … large sample of funds, we find substantial evidence that hedge fund risk exposures vary across and within months, and that …-month functional forms, and uncover patterns such as day-of-the-month variation in risk exposures. We also find that changes in …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices … climate risk hedge portfolios. The new mimicking portfolio approach is much more efficient than traditional sorting or maximum … delivering markedly higher and statistically significant alphas and betas with the climate risk indices. …

country betas are time-varying and that currently, global factors are the dominant source of equity market volatility …

The existence of country-specific risk factors that could be mitigated by international investments is investigated. An …-specific source of risk that can be hedged via the use of non-domestic diversification. Most of the previous literature on this topic …

VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that …A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk … maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily …

that are not offset by its high volatility. We provide evidence that the low correlation of Bitcoin can also lead to … significant reduction of the overall portfolio risk, most apparent in portfolios of commodities. Accounting for time …

and the tests the volatility, as a factor, that may cause the correlations to change over time. Linear regression … the volatilities of individual markets or their relative volatility causes the change in correlations.The results suggest … market index returns, change over time and the variation in correlations is influenced by the volatility of the emerging …