volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … spreads. The model matches the widespread volatility smirk in index options as well as the first two moments of government …

This paper evaluates and compares the ability of alternative option-implied volatility measures to forecast the monthly … realized volatility of crude-oil returns. We find that a corridor implied volatility measure that aggregates information from a …-free volatility expectations, as well as those generated by a high-frequency realized volatility model. In particular, this measure …