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 …

-varying risk, i.e. stochastic volatility. In our model, firms finance investments using defaultable debt as well as equity issuance …, and they are subject to standard profitability shocks as well as shocks to volatility. An increase in volatility leads to …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

A particle- lter based estimation method is developed for the stochastic volatility model with/without jumps and … volatility option pricing models with a constant elasticity of variance, and can allow for price jumps. Our contention is that … using the VIX term structure in estimation can help us reach a more reliable conclusion in terms of the nature of the risk …

. We ask whether stochastic asset volatility, as an extension to this model class, has the ability to help resolve this … risk volatility itself, dependence between the levels of risk and asset value and finally volatility risk premia), in a … calibration setting only the volatility risk premium channel is economically significant. We show that this feature of a …

equity volatility with high-frequency measures, liquidity costs explain a substantial fraction of the variation in the yield …