by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

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 …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …