I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

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 …

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

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

amplified in periods of high volatility; and (3) in recent years dealers have increasingly offloaded inventory during Asian …

The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures … return of 12.66% and a Sharpe ratio of 0.69. Notably, the excess returns based on the volatility strategy emanate mainly from … illiquidity, other commodity pricing factors, and exposure to the aggregate commodity market volatility. The VOL measure is …

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their … relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading … strategies. Using a time series of option prices on the VIX, the most liquid volatility derivative market, we find that variance …

investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …