We study the options-implied market risks that affect US-European stock-return correlations
during 2007–2021. We discover that US stock-and bond-market uncertainty, stock-market …

In this paper, we provide a comprehensive study on the higher-order risk-neutral moments
(RNMs) and differences in RNMs (DRNMs) in the crude oil market, implied by options written …

We investigate the interrelations between US stock market uncertainty (VIX) and equity
returns in several emerging markets (EMs) in an integrated multivariate system that allows …

I study the options‐implied market risks that affect US stock–bond correlations from 2007 to
2021. I discover that US stock and bond market uncertainty, stock market tail risk, and global …

Purpose The authors analyse six actively traded VIX Exchange Traded Products (ETPs)
including 1x long,− 1x inverse and 2x leveraged products. The authors assess their impact …

We derive the theoretical relation between the term structure of implied variance and the
expected excess returns of the underlying asset. Adopting three alternative approaches to …

This paper investigates the relationship between the volatility of government bond yields
and liquidity using daily data. We introduce a novel measure of liquidity called Repo Spread …

We extract variance and skew risk premiums from volatility derivatives in a model‐free way
and analyze their relationships along with volatility index and equity index returns. These …

In this paper, we first extend the variance risk premium (VRP) in Bollerslev, Tauchen and
Zhou (2009) into the moment spreads, including the skewness spread (SKS) and the …

We construct a common volatility risk factor from US option-implied forward variances and
show that it significantly and positively predicts market returns of developed countries, both …