volatile shadow risk premia, and small and volatile lift-off probabilities …

a production economy featuring long-run productivity and temperature volatility risk. In the model temperature …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility … featuring time-varying market volatility and volatility-of-volatility factors, both of which have negative market price of risk …

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility … time-varying market volatility and volatility-of-volatility factors, both of which have negative market price of risk. …