Showing 1 - 10 of 139 results for 'Volatility'

Working Paper

Credit Implied Volatility

This paper introduces the concept of a credit implied volatility surface. The credit implied volatility (CIV) can be interpretable as risk-neutral asset volatility of the underlying firm—the slope of the CIV term structure is negative in downturns and positive during expansions.

Journal Article

The Limits to Arbitrage and the Low-Volatility Anomaly

Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.

Working Paper

Does Fundamental Volatility Help Explain Credit Risk?

We aim to bring a better understanding of credit risk, by investigating whether combining market- and accounting-based measures of asset volatility generates a superior measure of total asset volatility.

Macro Wrap-Up

Macro Wrap-Up: High Volatility

We answer your questions about the recent market volatility and how this environment compares to past bear markets in stocks.

Working Paper

Risk Everywhere: Modeling and Managing Volatility

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

Journal Article

Low-Volatility Cycles: The Influence of Valuation and Momentum on Low-Volatility Portfolios

In the “low-volatility” anomaly, researchers have shown that measures of prior stock price variability relate to future performance but not necessarily in the way theory suggests.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

AQR Insight Award

Structural GARCH: The Volatility-Leverage Connection

2014 HONORABLE MENTION Robert Engle, Ph.D., and Emil Siriwardane We propose a new model of volatility where financial leverage amplifies equity volatility by what we call the “leverage multiplier”.