John Huss

AQR Capital Management, LLC

Greenwich, CT

United States

SCHOLARLY PAPERS

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Scholarly Papers (1)

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,807 (3,890)

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
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 3 (643,909)
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Abstract:

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