This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail … uncertainty measures, suggesting that time-varying oil price fears are an additional source of oil price volatility and …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …

predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …