Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …

strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … selling of VIX instruments could have substantial volatility jump risk exposure which can result in economically meaningful … buys VIX calls – had lower volatility and less severe maximum drawdowns than the stock and commodity benchmark indexes …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX … focus on the latter part of 2008. While a long volatility exposure may result in negative excess returns over the long term …