Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

time-varying parameter vector autoregression with stochastic volatility. The empirical analysis reveals several new …

We use realized volatilities based on after hours high frequency returns to predict next day volatility. We extend … inclusion of the preopen variance can improve the out-of-sample forecastability of the next day conditional day volatility … day conditional volatility. Our findings support the results of prior studies that traders trade for non …

uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …

closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market …

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …