futures and options to hedge their exposure to commodity price and volatility risk; speculators provide liquidity and ask for …

predictive capability of currency volatility risk premia for currency returns. The volatility risk premium -- the difference … between expected realized volatility and model-free implied volatility -- reflects the costs of insuring against currency … volatility fluctuations, and the strategy sells high-insurance-cost currencies and buys low-insurance-cost currencies. The …

dictated in part by the so-called volatility premium, but also that another important driver is at play, the covariance between … the convexity of the option and the prevailing volatility regime. In particular, we determine empirically that the sign of …

Stock market volatility clusters in time, appears fractionally integrated, carries a risk premium, and exhibits … asymmetric leverage effects relative to returns. At the same time, the volatility risk premium, defined by the difference between … the risk-neutral and objective expectations of the volatility, is distinctly less persistent and appears short …

This paper studies how volatility affects the risk premium in crude oil futures through a discrete-time term structure … model with long-run and short-run GARCH-type volatility components. Estimated using WTI crude oil futures data from January … document a significant positive relation between volatility and futures risk premia before May 2005, but a significant negative …

volatility specifications and/or jumps.In the yield curve literature it is widely accepted that one-factor is not sufficient to …-factor stochastic volatility specification within the structural model of credit risk. One of the factors determines the correlation …-term returns and variance. The numerical tests reveal how the introduction of two volatility factors can generate a wide range of …

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in … announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among …

We introduce a stochastic volatility model with self-exciting jump intensity to capture the change in pricing dynamic …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …