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 …, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

straddles; second, we estimate the PVR in a Heston (1993) stochastic-volatility model. In both cases, the estimation is … more negative and its term structure is steeper when volatility is high. These findings are inconsistent with calibrations …

, futures and forwards, option pricing under jumps and stochastic volatility, and the market valuation of corporate securities …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

correctly, and (3) a structural model with stochastic volatility can reproduce the predictability pattern of variance risk …

correctly, and (3) a structural model with stochastic volatility can reproduce the predictability pattern of variance risk …

correctly, and (3) a structural model with stochastic volatility can reproduce the predictability pattern of variance risk …

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 …

Using a new dataset of bid and offer quotes for Credit Default Swaps, we investigate the relationship between … determinants are variance risk premia, implied volatility and the riskless interest rate. We find that estimated coefficients for …. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory …