How Aggregate Volatility-of-Volatility Affects Stock Returns

Keywords

Volatility risk premium, Volatility (finance), Forward volatility, Volatility swap, Volatility smile

References

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Cited by

• The memory of stock return volatility: Asset pricing implicationsDuc Binh Benno Nguyen, Marcel Prokopczuk, Philipp Sibbertsen — 2020
• Does the volatility of volatility risk forecast future stock returns?Ruijun Bu, Xi Fu, Fredj Jawadi — 2019
• Volatility-of-volatility and the cross-section of option returnsXinfeng Ruan — 2019
• Asset prices and “the devil(s) you know”Fabian Hollstein, Duc Binh Benno Nguyen, Marcel Prokopczuk — 2019
• Uncertainty and the volatility forecasting power of option‐implied volatilityByounghyun Jeon, Sung Won Seo, Jun Sik Kim — 2020
• Anomalies in Commodity Futures Markets: Risk or Mispricing?Fabian Hollstein, Marcel Prokopczuk, Björn Tharann — 2020
• Global predictive power of the upside and downside variances of the U.S. equity marketYahua Xu, Xiao Jun, Liguo Zhang — 2020
• Volatility‐of‐volatility risk in the crude oil marketTai‐Yong Roh, Alireza Tourani‐Rad, Yahua Xu — 2021
• Stock prices, uncertainty and risks: Evidence from developing and advanced economiesMary Elena Sánchez-Gabarre — 2020
• Volatility-of-Volatility Risk in the Crude Oil MarketYahua Xu, Tai‐Yong Roh — 2019
• Board Structure and the Volatility of VolatilityAlexander Merz, Sebastian Trabert — 2020
• Probability Distortions, Collectivism, and International Stock PricesFabian Hollstein, Vulnet Sejdiu — 2020
• New Dataset for Forecasting Realized Volatility: Is the Tokyo Stock Exchange Co-Location Dataset Helpful for Expansion of the Heterogeneous Autoregressive Model in the Japanese Stock Market?Takuo Higashide, Katsuyuki Tanaka, Takuji Kinkyo — 2021
• Ambiguity about volatility and investor behaviorDimitrios Kostopoulos, Steffen Meyer, Charline Uhr — 2021
• The impact of COVID-19 on stock returns of listed firms on the stock market: Ghana's experienceKenneth Ofori‐Boateng, Williams Ohemeng, Elvis Kwame Agyapong — 2021
• Market distraction and near-zero daily volatility persistenceJianxin Wang — 2022
• Does the tail risk index matter in forecasting downside risk?Jui‐Cheng Hung, Hung‐Chun Liu, Jie Yang — 2022
• Beta uncertaintyFabian Hollstein, Marcel Prokopczuk, Chardin Wese Simen — 2020
• Volatility of implied volatility and mergers and acquisitionsSandra Betton, Nabil El Meslmani, Lorne N. Switzer — 2022
• Testing Factor Models in the Cross-SectionFabian Hollstein, Marcel Prokopczuk — 2022

Related papers

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