findings from extreme value theory. Kurtosis exists on fewer dates and for fewer series. There is little evidence at the weekly … surprise and that there is a certain persistence in moments beyond volatility. For exchange-rate and stock-market data cross …-sectionally and at daily frequency we also document co-variability of moments beyond volatility …

"Investors' option-implied fear measures - implied volatility (ATMIV) and put-call implied volatility ratios (P … volatility premium"--National Bureau of Economic Research web site …

This paper investigates US Treasury market volatility and develops new ways of dealing with the underlying interest … rate volatility risk. We adopt an innovative approach which is based on a class of model-free interest rate volatility (VXI …) indices we derive from options traded on the CBOE. The empirical analysis indicates substantial interest rate volatility risk …