New Risk Measure Predicts Market Jumps, Boosts Trading Profits
The article introduces a new way to measure financial risk called Varying Cross-sectional Risk (VCR), which looks at the likelihood of sudden changes in asset returns compared to other assets in the market. By studying how assets move in relation to each other, the researchers found that their VCR model can predict sharp jumps in returns and help investors make more profitable and less risky trading decisions.