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 …, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …

portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …

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 …

Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums … general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …