into four components: market volatility risk, idiosyncratic volatility risk, market jump risk, and idiosyncratic jump risk … idiosyncratic jump risk and 2.15 for idiosyncratic volatility risk. While all four components are at play when stocks earn negative … returns, idiosyncratic jump and volatility risks are most important to explain positive returns. In addition, stocks that have …

We extract variance and skew risk premiums from volatility derivatives in a model-free way and analyze their … relationships along with volatility index and equity index returns. These risk premiums can be synthesized through option trading … strategies. Using a time series of option prices on the VIX, the most liquid volatility derivative market, we find that variance …

state dependent diffusion volatility following the constant elasticity of variance (CEV) process for the variables of … constant volatility (zero elasticity) assumption of earlier studies. We find that the elasticity is significantly different … from zero for most of the firms in our sample, and that the CEV model performs much better than constant volatility in …

and volatility risk in the dynamics of asset value in debt rollover models. Using an innovative theoretical approach we … values from empirical studies that volatility risk, together with deteriorating bond market liquidity, decrease both debt and …

This paper investigates the relation between risk-free rates and ex-ante market volatility. It derives a theoretical … direct market-based ex-ante estimate of risk-neutral volatility. Empirical analysis, conducted using LIBOR and variance …

positions. The framework starts with the near-term dynamics of the implied volatility surface and derives no … index time series and options data, we extract volatility risk and risk premium from the volatility surfaces, and find that …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is …

We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the … time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility … which are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility …

volatility and jump risks of individual firms from a unique dataset of high-frequency CDS spreads. I find that the volatility …. In the cross-section I find that volatility risk can explain 63% of the variation in the credit spreads whilst jump risk … forecasts 55%. For the CDX index I find that the volatility risk alone predicts 22% of the variation in the CDX index levels …