factors. This is confirmed in the data. Strikingly, combining the information from the variance, skewness and kurtosis term … and Yaron 2004) as well as stochastic volatility or jump intensities in reduced-form affine representations of stock …-neutral variance should reveal these risk factors. Empirically, we use model-free measures and construct the ex-ante variance term …

which succeeds with high probability. -- Hedging ; superhedging ; Neyman Pearson lemma ; stochastic volatility ; value at …

This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the … Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike … examine whether the momentum effect is persistent in stocks with high idiosyncratic volatility. We find that stocks with high …

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and … volatility jump diffusion model …

underlying, their exposure to volatility risk, and their time decay. Our contribution to the literature is twofold: First, we … volatility according to Heston (1993). Within this setting, the portfolio returns are explained by the market and an additional … option factor, i.e., a portfolio of standard options exposed to volatility risk. We show that (i) any option factor is …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … designed with consideration of important real-world risk characteristics of options and fail to represent volatility as a … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

momentum strategy, by the inverse of its historical volatility. However, we find that the higher Sharpe ratio and the alphas of … the volatility scaled momentum strategy, in comparison to traditional momentum strategy, depends on the length of the … investment horizon. Such that, the longer the investment horizon the better is the performance of the volatility scaled momentum …

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences …