models. We show that HF-based predictions yield a significantly lower portfolio volatility than methods employing daily …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

We investigate the question whether macroeconomic variables contain information about future stock volatility beyond … that contained in past volatility. We show that forecasts of GDP and industrial production growth from the Federal Reserve …'s Survey of Professional Forecasters predict volatility in a cross-section of 49 industry portfolios. The expectation of higher …

which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …

We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible … commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable … volatility increase before a crash, but we do not see this as a consistent behavior. We examine forty well-known bubbles and …