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 …

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

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 …

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 …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …