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 …

In this paper, we perform a robust analysis of the determinants of US swap spreads using a wide range of theoretically … the swap spread differ between different horizons. The sensitivity of the parameters to all possible model specifications … has been investigated. Among other things, we find that Treasury- and stock market volatility as well as the activity of …