In his seminal article, Samuelson (1965) proposes the maturity effect that volatility of futures prices should increase …

unspanned stochastic volatility factors while maintaining a Nelson–Siegel factor loading structure. This paper also exploits the …

arbitrage-free model, capturing both stochastic volatility and jumps. Jump-risk premia uncovered from the joint data respond … quickly to market volatility, becoming more prominent during volatile markets. This form of jump-risk premia is important not … only in reconciling the dynamics implied by the joint data, but also in explaining the volatility quot;smirksquot; of cross …

Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility … a more general framework. Along the way we clarify how the realized volatility and quadratic return variation relate to …

Stochastic volatility models such as those of Heston (1993) and Hull and White (1987) are often used to model … volatility risk in the pricing and hedging of contingent claims on risky assets. Some recent empirical evidence has shown that … these models under general specifications often do not fully capture the volatility dynamics observed. This paper provides …

. Density-based inferences can now be drawn for a broader set of models of equity volatility. Our empirical results provide … insights on crucial outstanding issues related to the rank-orderings of continuous-time stochastic volatility models, the …