information regarding future S&P500 returns. The objective of this empirical analysis is to verify if the shape of the volatility … that they can use the VIX futures term structure not only as a proxy of market expectations on forward volatility, but also …

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the … level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures …. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …

This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …