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-of-volatility … volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict …

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-of-volatility … which are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of 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-of-volatility … are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly …

Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors … the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …

variance contract under different scenarios, namely underpure estimation risk (or parameter risk) in a stochastic volatility … volatility instead of jumps or vice versa), and under modelrisk when risk factors are omitted (e.g. when the true model contains …

the jump intensity is much more important than diffusive volatility risk …

We study a long-run risk model with a stochastic consumption growth rate, a stochastic volatility, a stochastic jump …-varying uncertainty, time-variation in the jump intensity is much more important than time-variation in diffusive volatility risk. Third …, the empirically observed low correlation between changes in the level and changes in the slope of the implied volatility …

We produce novel empirical evidence on the relevance of temperature volatility shocks for the dynamics of macro … volatility and the macroeconomy varies over time. First, the sign of the causality from temperature volatility to TFP growth is …) period temperature volatility shocks positively (negatively) affect TFP growth. In the post-1950 period, temperature …

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S … diffusive volatility innovations we find that the first principal component is highly correlated with index variance innovations …