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...

We examine the forecasting power of the volatility of the slope of the US-Treasury yield curve on US stock-market volatility. Consistent with theoretical asset pricing models, we find that the volatility of the slope of the term structure of interest rates has significant forecasting power on...

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...