assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an …

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 …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices ….We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option … to uncertainty in the volatility surface.We estimate the size of implied volatility layers between the surfaces …

-return relationship identified by Bali, Demirtas, and Levy (2009) is highly significant in the low volatility state but disappears during … show that the absence of the risk-return relationship in the high volatility state is due to leverage and volatility … feedback effects arising from increased persistence in volatility. To better filter out these effects, we propose a simple …