Building on theoretical asset pricing literature, we examine the role of market risk and the
size, book‐to‐market (BTM), and volatility anomalies in the cross‐section of unlevered …

We define and construct a credit-implied volatility (CIV) surface from the firm-by-maturity
panel of CDS spreads. We use this framework to organize the behavior of corporate credit …

Models for conditional heteroskedasticity belonging to the GARCH class are now common
tools in many economics and finance applications. Among the many possible competing …

It is well known that volatility has time-varying and clustering characteristics. The information
content of volatility clustering is particularly important in turbulent periods, such as the stage …

This paper first evaluates the volatility modeling in the Bitcoin market in terms of its realized
volatility, which is considered to be a reliable proxy of its true volatility. Based on the 5 …

We develop a systemic risk indicator approach using a structural GARCH option-based
default risk framework incorporating volatility clustering, variance risk premiums, along with …

This study provides evidence on the common determinants for two prominent features of
equity market volatility: its persistence over time and its asymmetric dependence on past …

This study examines the volatility forecasting performance of various historical and implied
volatility measures. We compare the informational efficiency of lagged realized volatility …

Developments in the world of finance have led the authors to assess the adequacy of using
the normal distribution assumptions alone in measuring risk. Cushioning against risk has …

We study the market's reaction to the disclosure of EU-wide stress test results across four
periods (2014, 2016, 2018, and 2021). Our novel approach contributes to the literature by …