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 …

accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro … risk-adjusted portfolio returns after accounting for estimation error and model uncertainty, as evidenced by the …

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …