investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a …-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … volatility and jump …

An anchoring-adjusted option pricing model is developed in which the volatility of the underlying stock return is used … as a starting point that gets adjusted upwards to form expectations about call option volatility. I show that the …

primarily due to the pricing of market volatility risk. When volatility risk is priced, expected option returns match the … differential impact of the volatility risk premium on expected option returns, we also find that the market volatility risk premium …

The detrended implied volatility of commodity options (VOL) forecasts the cross section of the commodity futures … return of 12.66% and a Sharpe ratio of 0.69. Notably, the excess returns based on the volatility strategy emanate mainly from … illiquidity, other commodity pricing factors, and exposure to the aggregate commodity market volatility. The VOL measure is …

We examine the option-implied volatility of the three most liquid ETFs (Diamonds, Spiders, and Cubes) and their … respective tracking indices (Dow 30, S&P 500, and NASDAQ 100). We find that volatility smiles for ETF options are more pronounced … than for index options, primarily because deep-in-themoney ETF options have considerably higher implied volatility than …

conditional correlation approach. We find that cross-products are indeed long memory processes, but that this feature arises from … long memory in conditional volatilities and not from long memory in conditional correlation …

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …

strong performance for VIX futures selling or VIX call writing strategies. However, the high volatility of volatility and … selling of VIX instruments could have substantial volatility jump risk exposure which can result in economically meaningful … buys VIX calls – had lower volatility and less severe maximum drawdowns than the stock and commodity benchmark indexes …