We examine the pricing of volatility risk in the cross-section of equity Real Estate Investment Trust (REIT) stock … returns over the 1996 – 2010 period. We consider both aggregate (systematic) volatility and firm-specific (idiosyncratic …) volatility. In contrast to the negative and significant price of systematic volatility risk for Non-REIT equities, we find that …

skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …

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 … volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict …

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when … volatility …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no … index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that …

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 … which are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility …