volatility and investment horizon. The empirical PKs turn out to be U-shaped for short-dated instruments and W-shaped for long …

premium. Volatility decreases the options-leverage of equity, which decreases expected return. At the same time, volatility … increases value for equities with options features and, thus, it increases market/book. Because volatility has opposite impacts …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a signi ficantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

This paper investigates the intertemporal relation between volatility spreads and expected returns on the aggregate … stock market. We provide evidence for a significantly negative link between volatility spreads and expected returns at the … extreme values. The intertemporal relation remains strongly negative after controlling for conditional volatility, variance …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …