This paper tests the expectations hypothesis of the term structure of implied volatility for several national stock … market indexes. The tests indicate that the slope of at-the-money implied volatility over different maturities has predictive … ability for future short-dated implied volatility, although not to the extent predicted by the expectations hypothesis. The …

investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …

We suggest that the term structure of volatility futures (e.g. VIX futures) shows a clear pattern of dependence on the … level (over 30) it is strongly downward sloping. We use those features to better predict future volatility and index futures …. We begin by introducing some quantitative measures of volatility term structure (VTS) and volatility risk premium (VRP …

1 Abstract -- 2 Introduction -- 3 Chapter I: Literature on the subject of excess volatility -- 4 Chapter II: Excess … volatility beyond discount rates -- 5 Chapter III: Evidence of excess volatility in the Eurozone market -- 6 Conclusions. …The phenomenon of excess volatility in the context of share prices and of the term structure of interest rates has been …

illustrate the implications of asymmetry for the sensitivity of long rates and volatility of bond returns. When the central bank …. Time variation in the infation target is the main source of volatility, but learning adds to the ability of the model to … explain the observed volatility of returns along the yield curve. …