We show that at-the-money implied volatility of options on futures of 5-year Treasury notes (Treasury ‘yield implied … volatility') predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables …, credit spread, stock returns, stock market implied volatility, and several other variables that prior literature showed to …

We evaluate the ability of different asset pricing models to explain the flows into VIX ETPs with long volatility …

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 …

I show that volatility risk of the dollar factor --- an equally weighted basket of developed U.S. dollar exchange rates … --- carries a significant risk premium and that it is priced in the cross-section of currency volatility excess returns. The … dollar factor volatility risk premium is negative on average with an upward sloping and concave term structure. Consistent …

-monotonically decreasing return pricing kernels and u-shaped volatility pricing kernels. Based on the non-parametric estimates, a parametric … option pricing model that matches the stylized facts in the return and volatility dimension is proposed. Moreover, it is …

before the event, as suggested by significantly lower trading volumes and volatilities. The high event-day volatility is …

tractable. The approach allows for simultaneous calibration to market volatility surfaces of currency triangles, and also gives …

Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate …

This paper examines the cross section of options implied volatility and corporate bond returns. We document a strong … predictive ability of corporate bond returns using changes in call and put options implied volatility. Specifically, a strategy … of buying (selling) the portfolio with lowest (highest) changes in options implied volatility yields an average monthly …

This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia …. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility … risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of …