The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …

high volatility regimes. …

We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate … previous literature uses futures data for investigating the relationship between inventory and volatility, we use the … volatility. …

Stock market volatility clusters in time, carries a risk premium, is fractionally integrated, and exhibits asymmetric … shapes and patterns in the sample autocorrelations of the volatility and the volatility risk premium, and the dynamic cross …-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate …

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … option-implied volatility measures. A small-scale Monte Carlo experiment confirms that the procedure works well in practice … volatilities indicates significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn …