The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …

Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to …

finance higher investment and growth; (ii) insure against aggregate shocks and reduce consumption volatility; and (iii …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and estimate a dynamic term structure model that is consistent with these stylized facts, and use it to infer volatility … these distributions. In particular, we find that volatility, volatility risk premia, skewness, and skewness risk premia are …

future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a …