We investigate whether bonds span the volatility risk in the U.S. Treasury market, as predicted by most 'affine' term … cross-section of fixed-maturity zero-coupon bonds ("realized yield volatility") through the use of high-frequency data. We … find that the yield curve fails to span yield volatility, as the systematic volatility factors are largely unrelated to the …

(increase) world interest rates but also to increase (reduce) private leverage. This in turn increased (decreased) volatility in …

bond returns, while neither, like implied volatility, predicts put returns. These opposite predictability results are … consistent with a stochastic volatility, stochastic jump intensity model, as put premia increase in volatility but decrease in …

We document that the implied volatility skew of S&P 500 index puts is non-decreasing in the disaster index and risk …-the-money puts, thereby steepening the implied volatility skew and resolving the puzzle. Consistent with the data, the model also …