Search Results - subject:"Implied risk aversion"

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2023 - This version: August 2023

Persistent link: https://www.econbiz.de/10014470638

Forecasting Chinese stock market volatility with option-implied risk aversion : evidence from extended realized EGARCH-MIDAS approach

Wu, Xinyu; Qian, Jia; Zhao, Xiaohan - In: Pacific-Basin finance journal 83 (2024), pp. 1-23

Persistent link: https://www.econbiz.de/10014491122

Empirical pricing kernel and option-implied risk aversion in China 50 ETF

Sung, Hao-Chang; Shi, Lisi - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 15, pp. 4286-4299

Persistent link: https://www.econbiz.de/10013463016

Implied risk aversion : an alternative rating system for retail structured products

Fink, Holger Maria; Geissel, Sebastian; Sass, Jörn; … - In: Review of derivatives research 22 (2019) 3, pp. 357-387

Persistent link: https://www.econbiz.de/10012311821

Implied volatility and risk aversion in a simple model with uncertain growth

Lundtofte, Frederik - In: Economics Bulletin 30 (2010) 1, pp. 182-191

We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.

Persistent link: https://www.econbiz.de/10008563092

Implied volatility and risk aversion in a simple model with uncertain growth

Lundtofte, Frederik - In: Economics Bulletin 30 (2010) 1, pp. 182-191

We show that a simple equilibrium model with uncertain growth is able to simultaneously generate patterns in implied volatility and risk aversion that are similar to the ones observed in the data.

Persistent link: https://www.econbiz.de/10008493458

Why does Implied Risk Aversion Smile?

Ziegler, Alexandre - Swiss Finance Institute - 2002

density of asset returns and the state-price density. The implied risk aversion estimates obtained in these studies are … smile either. The patterns of beliefs misestimation required to generate the empirical implied risk aversion estimates found …

Persistent link: https://www.econbiz.de/10005771821