understand the impact of macro and microeconomic forces on risk neutral volatility. VIX often increases with macroeconomic news …

new measure of tail risk, we suggest using a model-free, risk-neutral measure of the volatility of volatility implied by a … four weeks. Furthermore, we find that volatility of volatility risk and its associated risk premium both significantly … contribute to the forecasting power of the VVIX index, and that the predictability largely results from the integrated volatility …

a Brownian motion with stochastic volatility. We derive formulas for conditional default probabilities and credit … spreads. An example for a volatility process is the square root of a Levy-driven Ornstein-Uhlenbeck process, for which we show … that jumps in the volatility translate into jumps in credit spreads. We examine the dynamics of the model and provide …

to model a credit quality process as an Ito integral with respect to a Brownian motion with a stochastic volatility … conditional default probabilities and credit spreads. An example for a volatility process is the square root of a Levy …

volatility of capital stock is stochastic and driven by shocks. After solving the equilibrium, the fundamental shocks are … volatility surface …

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero …-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward … slopes - volatility carry strategy - generates significant excess returns. The covariation with volatility carry returns …

We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends … the class of Realized Volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time … compensating for equity, volatility, and jump risks, the generating function under the risk-neutral measure inherits analytical …