We propose a Multivariate Volatility Regulated Kelly strategy, which has extra penalization on variance compared to the …

underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …

density of daily US and Euro Government bond yields and mimic the Garch-type volatility of such yields. In these DTATSM yields … heteroscedastic DTATSM over popular homoscedastic DTATSM and stochastic volatility DTATSM, because of more realistic predictions of … yields volatility …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and …-use frees up collateral that can be used to back more transactions. Re-use thus contributes to the build-up of leverage and … significantly increases volatility in financial markets. When introducing limits on re-use, we find that volatility is strictly …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite …-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility in …

presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have …In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … general equilibrium in finite-horizon economy with heterogeneous agents and collateral constraints. There are two assets in …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite …-horizon asset-pricing model with heterogeneous agents. In our model, the ability of agents to reuse frees up collateral that can be … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility …

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