This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We … risk-neutral distributions as well as the term structure of volatility smiles and of variance risk premia. We find that the …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized variance term premia … are increasing in systematic risk and predict variance swap returns. Implied volatility term premia are decreasing in risk …

The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …

volatility for a large set of US companies. It is shown that accounting for the long-run equilibrium dynamic between these …'s assets and volatility is developed. The proposed model allows to significantly reduce the pricing errors in predicting credit … when regressing a set of explanatory variables onto the spread changes. Once credit spreads, leverage and volatility are …

oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail … uncertainty measures, suggesting that time-varying oil price fears are an additional source of oil price volatility and …