This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …

significantly explain differences in the implied volatility surface (IVS) across stocks. Motivated by this finding, we model the IVS …

The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …

volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these …'s assets and volatility is developed. The proposed model allows to significantly reduce the pricing errors in predicting credit … when regressing a set of explanatory variables onto the spread changes. Once credit spreads, leverage and volatility are …