Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly …