EDHEC: The Relevance of Country and Sector-specific Model-free Volatility Indicators

Stock market volatility is an important input to asset allocation and risk management. With the increase in stock market uncertainty and the recent financial crises, there has been a growing interest in volatility as a sentiment indicator, but also as an asset class. Investors and asset managers increasingly rely on OTC or exchange-traded volatility derivatives  using volatility indices as underlyings to alleviate losses during market downturns,
based on the negative correlation between