This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

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 … significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

purpose, we use the swap variance (SwV) approach to identify monthly jumps and estimated realized volatility in prices for …In this paper, we examine whether jumps matter in both equity market returns and integrated volatility. For this … jumps. In emerging markets, the markets with average volatility earn higher returns during jump periods; however, highly …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …

value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC … press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility …

domestic volatility after good shocks but a bad hedge after crashes …