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Implied idiosyncratic volatility and stock return predictability

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Commodity return predictability : evidence from implied variance, skewness, and their risk premia

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Expectations and term premia in EFSF bond yields

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VIX forecasting and variance risk premium : a new GARCH approach

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Why does higher variability of trading activity predict lower expected returns?

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Systemic co-jumps

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The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...

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