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 …

We apply the directed acyclic graph and spillover index models and find significant evidence of both implied volatility … contagion and spillover. First, the global implied volatility smiles exhibit strong regional clustering. The European and … them, the European index options markets demonstrate the strongest implied volatility smile contagion. Second, there exists …