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Todd B. Walker

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Preprint Oct 2026

Beneath the VIX: Probability, Severity, and Uncertainty Shocks

Implied stock-market volatility is widely used to identify uncertainty shocks and discipline models of their macroeconomic effects. This paper gives distributional content to the option-price variation underlying these exercises. A normalized at-the-money forward put price, the Downside Protection Premium (DPP), closel...

Todd B. Walker · 0 citations

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