In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …

predicts price volatility. We then extend the logic of fragility to investigate two natural extensions: (1) the forecast of …

This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets … show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after … volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

purchased by institutional blockholders with stricter redemption policies experience a significant decrease in volatility …