This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

This article reviews the predictability evidence on the variance risk premium:(a) It predicts
significant positive risk premia across equity, bond, currency, and credit markets;(b) the …

We document that a trading strategy that is short the US dollar and long other currencies
exhibits significantly larger excess returns on days with scheduled Federal Open Market …

We discover a new currency strategy with highly desirable return and diversification
properties, which uses the predictive ability of currency volatility risk premia for currency …

We investigate the relationship between uncertainty about monetary policy and its
transmission mechanism, and economic fluctuations. We propose a new term structure …

Uncertainty about future policy rates plays a crucial role for the transmission of monetary
policy to financial markets. We demonstrate this using event studies of FOMC …

We measure “good” and “bad” variance premia that capture risk compensations for the
realized variation in positive and negative market returns, respectively. The two variance …

We show that Treasury security prices in the secondary market decrease significantly in the
few days before Treasury auctions and recover shortly thereafter, even though the time and …

We show that the cross-sectional dispersion of conditional foreign exchange (FX) correlation
is countercyclical and that currencies that perform badly (well) during periods of high …

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 …