Superior to the variance, "swap variance (SwV)" summarizes the entire probability distribution of returns and is … unbiased to distributional asymmetry. Retaining the same simplicity as mean-variance (MV) model, the efficiency of mean-swap … volatility and a proxy of asymmetric variation (A). The mean-variance-asymmetry (MVA) analysis, a three-dimensional extension of …

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

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 … significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …

Volatility forecasts play a central role among equity risk measures. Besides traditional statistical models, modern … forecasting techniques, based on machine learning, can readily be employed when treating volatility as a univariate, daily time …-ahead volatility by using high-frequency data. We show that the dilated convolutional filters are ideally suited to extract relevant …

implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new … direct estimation of the underlying “structural” shocks and economic transmission mechanisms, including a new volatility …

It is generally believed that excessive stock market volatility reflects non-mathematical market expectations that are …