Volatility Risk Pass-Through

Posted: 1 Oct 2018 Last revised: 29 Apr 2021

See all articles by Ric Colacito

Ric Colacito

University of North Carolina Kenan-Flagler Business School; NBER

Mariano (Max) Massimiliano Croce

Finance Department, Bocconi University; Centre for Economic Policy Research (CEPR)

Yang Liu

The University of Hong Kong - Faculty of Business and Economics

Ivan Shaliastovich

University of Wisconsin - Madison

Multiple version iconThere are 3 versions of this paper

Date Written: October 1, 2018

Abstract

PLEASE REFER TO:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2695343

Keywords: Volatility, International Risk Sharing, Exchange Rate

JEL Classification: F30

Suggested Citation

Colacito, Riccardo and Croce, Mariano Massimiliano and Liu, Yang and Shaliastovich, Ivan, Volatility Risk Pass-Through (October 1, 2018). Jacobs Levy Equity Management Center for Quantitative Financial Research Paper, Available at SSRN: https://ssrn.com/abstract=3258312 or http://dx.doi.org/10.2139/ssrn.3258312

Riccardo Colacito

University of North Carolina Kenan-Flagler Business School ( email )

Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

HOME PAGE: http://drric.web.unc.edu/

NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Mariano Massimiliano Croce

Finance Department, Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

HOME PAGE: http://sites.google.com/view/mmcroce/home

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Yang Liu (Contact Author)

The University of Hong Kong - Faculty of Business and Economics ( email )

Pokfulam Road
Hong Kong
China

Ivan Shaliastovich

University of Wisconsin - Madison ( email )

716 Langdon Street
Madison, WI 53706-1481
United States

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