realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and … investigate whether buyer and seller initiated trades as two factors of realized volatility, we investigate whether they have an … asymmetric effect on realized volatility. The stocks in the ASX50 sampled over the period January 1996 to April 2010 reveal that …

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both … tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in … the volatility dimension. The model features investors who have heterogeneity in beliefs about volatility outcomes, and …

This paper studies the predictability of S&P500 returns using short term risk premia as a conditioning variable. We … construct dividend prices using futures data and identify short term risk premia by projecting excess returns of dividend claims … short term risk premia captures time variation in index excess returns, albeit with the wrong sign. Counter to the intuition …

Bermudan cancelable features. We consider a three-factor pricing model with FX volatility skew which results in a time …

-pricing formula applies to far-out-of-the money put options on the stock market when disaster risk dominates, the size distribution of …

In this study, we derive a CDS implied equity volatility index from highly liquid one-year contracts in the Eurozone …, and for the inclusive period 2008-2014. We analyze the relationship between this volatility index and the VSTOXX 12M … relationship between the two volatility indices in which the CDS implied index plays the leading role …

that a time varying risk premium proportional to the level of market volatility is consistent with the results …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 …

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

Recent empirical studies report predictable dynamics in the volatility surfaces implied by observed index option prices …