liquidity, volatility characteristics, and jump risks, and are not explained by common risk factors. Our findings suggest that …This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … volatility. Our results hold for different measures of volatility such as implied volatility, EGARCH volatility from daily …

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 …

show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility … modification that yields a positive tail risk-return relationship in all states of market volatility …We investigate the dynamics of the relationship between returns and extreme downside risk in different states of the …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

This paper proposes a risk measure, based on first-passage probability, which reflects intra-horizon risk in jump … models with finite or infinite jump activity. Our empirical investigation shows, first, that the proposed risk measure … consistently exceeds the benchmark Value-at-Risk (VaR). Second, jump risk tends to amplify intra-horizon risk. Third, we find large …

volatility terms. We derive theoretically the underlying assets' risk-neutral distributions, and we estimate the parameters of … idiosyncratic volatility risk, which turns out to be significantly different from zero for all the stocks in our sample. We … which idiosyncratic volatility is allowed to be priced. We model the index dynamics' physical distribution as a mean …

One of the main explanations for the idiosyncratic volatility (IVOL) puzzle (i.e., the negative relation between lagged … IVOL and returns) is a missing risk factor. We show analytically that if IVOL proxies for a missing risk factor, then the … risk factors. Overall, our results suggest that both diversifiable (i.e., true idiosyncratic risk) and non …

We work in the Uncertain Volatility Model setting of Avellaneda, Levy, Paras [1] and Lyons [10] (cf. also [11]). We … first look at European options in a market with no interest rate and focus on theextreme case where the volatility has a … volatility given by the lower bound) of an option with payoff the smallest concave function above the initial payoff. We next …