The volatility of equity returns generally exhibits an asymmetric reaction to positive and negative shocks. Economic … explanations for this phenomenon are leverage and a volatility feedback effect. This paper studies the volatility of gold and … volatility by more than negative shocks. The paper argues that this effect is related to the safe haven property of gold …

whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange …

Like no other calamitous event in recent memory, the COVID-19 pandemic has plunged the world’s financial system into …, and kurtosis). With respect to the equity-gold nexus, we find that stock (gold) returns and volatility negatively …

documents that, when the idiosyncratic volatility is specified by firm size, the size-portfolio idiosyncratic volatility is …, this paper examines the predictive ability of the size-portfolio idiosyncratic volatility for GDP growth. It concludes that … size-portfolio idiosyncratic volatility contain significant information for forecasting future GDP growth for both the U …

focuses on volatility, where volatility is derived from a GARCH model. The results suggest that models which account for …

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model …-free total implied volatility into various components using different segments of the cross section of out-of-the money put and … call option prices. We find that only model-free volatility computed from the cross section of out-of-the-money call option …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms' export intensity. We also uncover evidence consistent …