The role of oil price shocks in economic activity and inflation is controversial but a key input to economic policy. To clarify these relations, we employ a refined measure of oil shocks based on decomposing realized volatility and estimated using intraday oil futures data. In reconciling prior...

In this paper we examine the pricing of volatility risk using SPX corridor implied volatility. We decompose model-free total implied volatility into various components using different segments of the cross section of out-of-the money put and call option prices. We find that only model-free...

Recent theoretical work suggests that signs of asset returns are predictable given that their volatilities are. This is the first paper to investigate whether the demand for information, approximated by the daily internet search volume index (SVI) from Google, can enhance volatility forecasts...