examination of the relationship between momentum returns and idiosyncratic volatility (IVol) is conducted to determine whether …, stock price, and turnover to determine robustness. Finally, we investigate a time-series relationship between aggregate IVol …. The findings are robust after controlling for factors such as firm size, book-to-market ratio, and turnover. We confirm …

returns exhibit conditional heavy tails even after volatility clustering effect has been accounted for; and ii) the NRIG …

The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset … based on Granger causality test have lower expected returns, not related to idiosyncratic volatility. Secondly, empirical … evidence indicates that stocks with higher idiosyncratic volatility have the lower exposition on the indegree risk factor. …

realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … of the VIX or realized stock volatility. In contrast, a jump-in-volatility LRR model generates a smaller variance risk … premium but better fits the VIX and the realized stock volatility dynamics. Finally, jump-in-volatility models generate …