maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

. I introduce an affine jump-diffusion model, which accounts for both the factor structure of asset returns and that of … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … to 2012. I find that investors not only require compensation for the systematic movements in returns and variance, but …