-market volatility as measured by the VIX. We propose a new estimator for the shape of the nonlinear forecasting relationship that …, revealing flight to safety: Expected returns increase for stocks when volatility increases from moderate to high levels, while …

to intermediate bond markets, as in March 2020. Although yield volatility explains most of the variation in Treasury … than predicted by yield volatility alone. This is consistent with the existence of occasionally binding constraints on the …

This paper documents law of one price violations in equity volatility markets. While tightly linked by no …

intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state …

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong …, most importantly, can be exploited in real time. Current realized volatility has the most information content on the … volatility is low, the predicted distribution of returns is less dispersed and probabilistic forecasts are sharper. Given this …

This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …