John Huss

AQR Capital Management, LLC

Greenwich, CT

United States

  • AQR Capital Management, LLC

SCHOLARLY PAPERS

2

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Top 18,032

in Total Papers Downloads

5,898

TOTAL CITATIONS
Rank 11,600

SSRN RANKINGS

Top 11,600

in Total Papers Citations

71

Scholarly Papers (2)

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1.

Risk Everywhere: Modeling and Managing Volatility

Downloads 3,781 ( 6,316)
Citation 69

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3,777 (6,208)
Citation 13

Abstract:

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Market and volatility risk, high-frequency data, realized volatility, risk modeling and forecasting, volatility trading, risk targeting, realized utility

Risk Everywhere: Modeling and Managing Volatility

CEPR Discussion Paper No. DP12687
Number of pages: 57 Posted: 14 Feb 2018
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 4 (1,357,522)
Citation 56
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high-frequency data, Market and volatility risk, realized utility, realized volatility, risk modeling and forecasting, risk targeting, volatility trading

2.

Risk Parity is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

Number of pages: 55 Posted: 16 Aug 2019
Benjamin Hood, John Huss, Roni Israelov and Matthew Klein
Parametric Portfolio Associates, LLC, AQR Capital Management, LLC, Independent and AQR Capital Management, LLC
Downloads 2,117 (15,976)
Citation 2

Abstract:

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Risk Parity; Volatility Control; Volatility; Short Volatility; Volatility Risk Premium; Variance Risk Premium; Options; Hedging