This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

We conduct an international analysis of the cross-sectional risk premiums of uncertainty risk factors in addition to … traditional risk factors. We consider the stock markets in five regions separately. Internationally, uncertainty has negative risk … uncertainty betas. We further contribute with an analysis of downside uncertainty risk. Here, the downside uncertainty risk factor …

The relationship between risk and expected returns has been investigated extensively in the financial economics … with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across … skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive …

. Unlike the U.S. market, though, the information contained in the KS risk factor of these international markets does not … its level of net public wealth as proposed within the most recent World Inequality Report by Alvaredo et al. (2018) …

structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and …

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as … idiosyncratic stock volatility following acquisitions by foreign investors …

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …