straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

to the likelihood of upward jumps in volatility. Consistent with investors disliking high levels of economic uncertainty …, we find that the overall shape of the estimated volatility pricing kernel is increasing. For certain periods, there is a … puzzling U-shape. The behavior of the volatility pricing kernel over time reveals that the financial crisis has affected …

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that … the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options … investors are willing to pay a cost to avoid volatility risk. Second, volatility risk is priced mainly at short maturities …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …