We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor's 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …

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 … which are more exposed to volatility and volatility-of-volatility risks. Volatility and volatility of volatility …

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor´s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …