Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the …

risk of being fired. As the default probability changes over time, the reputational premium amplifies price volatility …

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

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 show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum … and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to …

both conditional volatility and skewness. This has first order implications for managing risks associated with momentum … investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … constant and dynamic volatility-managed momentum strategies. This result holds for different levels of transaction costs and …

returns and volatility of ETF and index. The equity ETF, which tracks NASDAQ (NDX 100), is chosen for the study, and the data …