of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

We examine the forecasting power of the volatility of the slope of the US-Treasury yield curve on US stock …-market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of … interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from one up to …