In this study we examining the time dependent nature of volatility and cross-correlation of Australian equity returns … data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By … significant time-dependent behaviour. We also find that the volatility estimates do not display similar non-stationary patterns …

, implied volatility, correlations, covariances, Sharpe and Sortino ratios. The large range in returns and dispersion suggest …

We test whether expected idiosyncratic volatility is related to the cross section of asset returns. We find that …, contrary to several recent papers, expected idiosyncratic volatility has no reliable relationship to expected returns. Further …, realized contemporaneous idiosyncratic volatility does have a positive relationship with expected returns - this relationship …

.e., the Chicago Board of Trade Volatility Index (VIX). The VIX is designed to perform as a leading indicator of the volatility … estimation show that, in the first and second subperiods that cover from 6/2013 through 5/2016, equity market volatility in the …

deterministic monotonicity of the true treatment in the instrument. Even allowing for general measurement error (e.g., the … measurement error is endogenous), it is still possible to obtain finite bounds on the local average treatment effect. Notably, the …