, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …

while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes … in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this …