of GARCH-X models improves the accuracy of their volatility forecasts for spot and 1-year time-charter tanker freight … of the volatility forecasts drawn …

international option returns exhibits a mispricing by sorting on ex-ante volatility returns. In addition, selling international ETP … options and buying their corresponding index options commands a positive risk premium. Both empirical findings are … economically large and pervasive internationally, whereas they are comparably small domestically. While volatility hedge funds are …

conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 … persists after controlling for standard risk factors, commodity-specific risks, behavioral factors, transaction costs …, commodity sectors or seasonality effects. The sources of risk and return in this anomaly are sufficiently different to …

We construct a global implied volatility surface by combining information from the index options of twenty countries …, including global level and slope, U.S. convexity, VIX, SVIX, variance risk premium, and left-tail volatility. The predictability … options markets for risk sharing and information aggregation …

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 …

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

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 …