Empirical evidence suggests that fixed income markets exhibit unspanned stochastic volatility (USV), that is, that one … cannot fully hedge volatility risk solely using a portfolio of bonds. While Collin-Dufresne and Goldstein (2002) showed that …

Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil … futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations … in commodity markets volatility. The volatility estimates reveal that in line with theory, the volatility factors are …

This paper reexamines the issue of unspanned stochastic volatility (USV) in bond markets and the puzzle of poor …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

The term structure of equity return volatility fluctuates across time. It affects the term structure of equity returns … through the volatility feedback effect and explains the cyclicality of equity return term structure. By analysing the dividend … strip futures, this paper finds that volatility feedback effects of dividend strips exist and decrease with the horizon …

In this analysis we are concerned with the issue of whether market forecasts of volatility, as expressed in the Black … comprising 5-minute returns, makes volatility the subject process of interest, to which innovations are introduced via a … volatility-of-volatility (kurtosis) process. Despite performing robustly in- and out-of-sample, an encompassing regression …

equity risk-neutral volatility. The spillover channel between risk-neutral volatilities arises mainly through the government …