swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … that decomposes variance swap rates into expected variances and term premia. Empirically, we document a strong global … hypothesis that financial intermediaries are marginal investors in the variance swap market. …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

premium and Sharpe ratio, a high and clustered volatility, a rich time-variation of returns and a low and little volatile risk …

increase in the idiosyncratic volatility of the underlying stock. This result can not be explained by standard risk factors. It … is distinct from existing anomalies in the stock market or volatility-related option mispricing. It is consistent with … idiosyncratic volatility stocks due to their higher arbitrage costs. Controlling for limits to arbitrage proxies reduces the …

This paper provides an empirical study on the predictability of implied volatility using dataset collected from the … implied volatility characteristics across various maturities. We applied both in and out-of-sample tests that include the … provides evidence of non-random movement in the implied volatility series and indicates predictability of implied volatility …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … of global convexity comes from its left-tail contributions related to crash fears (left-tail volatility), and right …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …