We propose a joint modeling strategy for timing the joint distribution of the returns and their volatility. We do this … volatility, allowing for asymmetric cross-correlations, denoted as instantaneous leverage effects, in addition to cross …-autocorrelations between returns and volatility, denoted as intertemporal leverage effects. We show that while the conventional intertemporal …

liquidity-adjusted return and volatility, for selected crypto assets. We develop a liquidity-adjusted ARMA …) counterpart in portfolio performance. Collectively, they extend the return/volatility-based Modern Portfolio Theory (MPT) to a …

measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters … and naturally allows the asymmetric effects. It provides a more flexible modelling of the volatility than the HEAVY models …. A joint quasi-maximum likelihood estimation and closed form multi-step ahead forecasting is derived. The model is …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …