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 …

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 …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …

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

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 … volatility and volatility-of-volatility risks. Volatility and volatility of volatility significantly and negatively predict …

Ex-ante estimates of the volatility premium embedded in VIX futures, known as the VIX premium, fall or stay flat when … volatility …