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 …

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 …

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 …

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

general shape of the implied volatility function of the corresponding currency pair. Overall, we conclude that there is a …

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …