timevarying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with di¤erences in the intensity of …

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the … economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data … proxies for credit risk and funding (il)liquidity consistently show up as common predictors of volatility across asset classes …

component. We show that both the time series and the term structure of conditional volatility in general is downward sloping and … reputation. Another testable implication is that in price series without a policy reversal, implied volatility from option prices … will exceed actual volatility. Over time, and in the absence of a reversal, this wedge progressively disappears. This may …

-varying volatility to compare the risk-adjusted returns of several portfolios of SRI funds with differences in the intensity of extra …

allows for asymmetric responses of volatility to stock and currency news, including leverage effects. Our results suggest … that the currency risk is priced in international stock markets, once asymmetries in volatility are taken into account. The …