This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …

production growth is low and volatility is high, causing the violations of the Euler equations, implying non-monotonic Stochastic …

This paper provides a data-driven analysis of the volatility risk premium, using tools from high-frequency finance and … Big Data analytics. We argue that the volatility risk premium, loosely defined as the difference between realized and … implied volatility, can best be understood when viewed as a systematically priced bias. We first use ultra …

We investigate the pricing of volatility risks in currency markets. First, we show that pricing ability of volatility … risk is concentrated in some of its components. Diffusive volatility dominates jump volatility in pricing carry trade … returns, while jump volatility is important in jointly explaining carry trade and momentum returns. Both short-run and long …

predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … 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 … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …

underlying GARCH model, and link it to minimum variance delta hedges in the continuous-time stochastic volatility literature …