high volatility regimes. …

empirical regularities in credit markets. Our model captures the empirical level and volatility of credit spreads, generates a …

implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new … for the direct estimation of the underlying economic mechanisms, including a new volatility leverage effect, the … persistence of the latent long-run growth component and the two latent volatility factors, as well as the contemporaneous impacts …

principal component explains 77% of the variation in the equity volatility level, 77% of the variation in the equity option skew …, and 60% of the implied volatility term structure across equities. Furthermore, the first principal component has a 92 …% correlation with S&P500 index option volatility, a 64% correlation with the index option skew, and a 80% correlation with the …

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. …

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 …

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …

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 …