This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

the slope and volatility of LIBOR rates, and mortgage markets activities have strong impacts on the shape of the forward …, respectively. Our results provide nonparametric evidence of unspanned stochastic volatility and suggest that the unspanned factors …

prices caused by stochastic volatility. -- option pricing ; autoregression ; heteroskedasticity ; GARCH ; leverage effect …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

estimates of the long-term volatility. By providing an external validation of the model using an option-based index reported by …

one-month variance swap rate, i.e., the CBOE Volatility Index (VIX) accurately. Our research suggests that one should use …

innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …

innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond … predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … stylized facts. In a decomposition of long-term bond returns we find that the expectations component from the level factor is …

The purpose of this study is to model implied volatility surfaces and identify risk factors that account for most of … the randomness in the volatility surfaces. The approach is similar to that of the Dumas, Fleming and Whaley (DFW) (1998 … smooth implied volatility surfaces. Next, principal component analysis is applied to the implied volatility surfaces to …