degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility … risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade … returns, while jump volatility is important in jointly explaining carry trade and momentum returns. Both short-run and long …

This paper proposes a novel approach to assessing volatility contagion across equity markets. I decompose the variance … volatility contagion. This suggests that investors believe that equity returns will be more highly correlated across countries … approach to testing the existence of volatility contagion does not rely on short periods of financial distress, but allows for …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …