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 …

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness … skewness sometimes changing sign. Conditional skewness displays some relation to the level and volatility of swap rates but is … exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional …

We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a … significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure … against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long …

information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&P 500 straddles for all maturities and to …

demonstrate the salient features of the ZLB-GATSM framework using a two-factor model. An illustrative estimation with U.S. term …