volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these …'s assets and volatility is developed. The proposed model allows to significantly reduce the pricing errors in predicting credit … when regressing a set of explanatory variables onto the spread changes. Once credit spreads, leverage and volatility are …

Does Indian sovereign yield volatility reflect economic fundamentals, or whether it is a self-generated force flowing … through markets with little connection to such fundamentals? To answer the question, this research explores the volatility … dynamics and measures the persistence of shocks to the sovereign bond yield volatility in India from 1 January 2016, to 18 May …

of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

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 …

implied volatility index level and term structure, we show the important role of the term structure in determining future …