We study whether prices of traded options contain information about future extreme market events. Our option … construct managed portfolios of a risk-free asset and market index. …

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the …

-sectional information from all stocks in the market improves beta estimation significantly. We also find that option-implied betas generally …Option-implied betas are a promising alternative to historical beta estimators, because they are inherently forward …-looking and can incorporate new information immediately and fully. Recently, different implied beta estimators have been developed …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related … quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes … conditional variance risk premia, is economically significant, and can only partially be explained by variations in observable … risk measures …

upward sloping correlation term structure. The model is calibrated to futures price data of ten commodities. The results … provide compelling evidence of cointegration in the data. Implications for the prices of futures and options written on common …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning … portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … long-maturity illiquidity. By building a sieve estimator around the risk-neutral valuation equation, the framework …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return … distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into … several empirical questions. We show that a model of a representative investor with CRRA utility can explain the variance risk …