volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main … nonlinear volatility models (symmetric and asymmetric Generalized AutoRegressive Conditional Heteroskedasticity [GARCH …]-type models) were used to model and estimate BIST-100 volatility in response to political news. The findings of the paper …

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other … assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an … international equity portfolio. According to the risk management strategy proposed, portfolio risk is seen as a specific combination …

This paper proposes to extract tail risk from a risk-neutral mean-adjusted expected shortfall of high-frequency stock … returns. Risk adjustment is based on a nonparametric estimator of the state price density that does not use option prices and … or nonexistent options. Empirically, the tail risk factor extracted from S\&P 500 returns has a 90% correlation with the …

volatility, but remains similar across levels of default risk and systematic volatility. These findings contribute to …This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …

In 2008, the S&P500 aggregated a loss of 30.16% during three selected days. Unfortunately, benchmark risk measures didn …'t forecast these hazards. Consequently, we witness a growing interest in coherent risk measures, sensitive to high moments and … heavy tail risk. Such measures were proposed by Aumann-Serrano (2007) and Foster-Hart (2008). As a generalization of these …

Implied volatility and other forward-looking measures of option-implied uncertainty help investors carefully evaluate …. In the first part, we create new volatility indices, which reflect market pricing of subsequently realised volatility of … underlying bond futures. We express volatility indices in both price and basis points, the latter being more intuitive to …

risk and the expected future market return. Since a large part of the idiosyncratic risk can be diversified away easily …, the conventional aggregate idiosyncratic risk measures can only be noisy proxies for the undiversified idiosyncratic risk …

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …