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Risk, uncertainty and asset prices

Bekaert, Geert; Engstrom, Eric; Xing, Yuhang - 2006

Persistent link: https://www.econbiz.de/10003395336

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - 2013

Persistent link: https://www.econbiz.de/10009744702

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a downward sloping term structure of low-frequency variance...

Persistent link: https://www.econbiz.de/10011412294

The price of the smile and variance risk premia

Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - In: Management science : journal of the Institute for … 67 (2021) 7, pp. 4056-4074

Persistent link: https://www.econbiz.de/10012623900

Financial market shocks and the macroeconomy

Subrahmanyam, Avanidhar; Titman, Sheridan - 2013

Persistent link: https://www.econbiz.de/10010187032

What do asset prices have to say about risk appetite and uncertainty?

Bekaert, Geert; Hoerova, Marie - In: Journal of banking & finance 67 (2016), pp. 103-118

Persistent link: https://www.econbiz.de/10011634665

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

The time variation in risk appetite and uncertainty

Bekaert, Geert; Engstrom, Eric; Xu, Nancy R. - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 3975-4004

Persistent link: https://www.econbiz.de/10013369010

The variance risk premium in equilibrium models

Bekaert, Geert; Engstrom, Eric; Ermolov, Andrey - In: Review of finance : journal of the European Finance … 27 (2023) 6, pp. 1977-2014

Persistent link: https://www.econbiz.de/10014445759