This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

dynamic factor and a vector autoregressive model and includes stochastic volatility, denoted by FAVAR-SV. Next, a Bayesian … momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of … risk features like volatility and largest loss, which indicates that complete densities provide useful information for risk. …

microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility …. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain … residual microstructure noise and other measurement errors. Such noise is called “realized volatility error”. As such …

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 …

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

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 …