. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty …We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy … monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by …

Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of … market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific … portfolio strategies. Drivers of information risk are detected applying an original model developed by the Author to the case of …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

reflected by the global volatility index (VIX) on the Sukuk index returns, and even this impact is negative for (VXEEM). The …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

Actuaries manage risk, and asset price volatility is the most fundamental parameter in models of risk management. This … study utilizes recent advances in econometric theory to decompose total asset price volatility into a smooth, continuous … securities during the period 1999–2005. We find that discrete jumps contribute between 15% and 25% of total asset risk for all …

and volatility, and decrease contemporaneous returns. Our price-of-risk estimates are also robust to using mimicking …We find strong evidence of a funding risk premium in the cross-section of asset returns. Our estimate for the price of … funding risk is robust across Treasury bonds, corporate bonds, equities, and hedge funds. Funding shocks pose a risk to …