This article describes the primary uses of the VIX index in the financial literature, offering for
the first time a joint view of its successes and failures in key financial areas. VIX is a model …

We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …

We introduce a novel class of term structure models for variance swaps. The multivariate
state process is characterized by a quadratic diffusion function. The variance swap curve is …

This paper investigates the pricing and weak convergence of an asymmetric non-affine, non-
Gaussian GARCH model when the risk neutralization is based on a variance-dependent …

This paper investigates the asset pricing implications of investor disagreement about the
likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees …

We derive an analytic relation between equity risk premium and the term structure of
variance risk premium (VRP). Motivated by this result, we estimate the VRP term structure …

I propose a parsimonious econometric model for the stochastic process governing the
evolution of per capita consumption and stock market dividend over time. The model …

This paper estimates the term-structure of volatility risk premia for the stock market. Realized
variance term premia are increasing in systematic risk and predict variance swap returns …

Essays on the Econometrics of Option Prices Page 1 Essays on the Econometrics of Option
Prices by Erik Vogt Department of Economics Duke University Date: Approved: George …

The illiquidity of options at long horizons has made it difficult to study the long-run properties
of several key option portfolios, including the volatility index (VIX) and related measures …