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Performance of tail hedged portfolio with third moment variation swap

Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471

Persistent link: https://www.econbiz.de/10011783329

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75

Persistent link: https://www.econbiz.de/10011634054

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility

Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014250993

Variance risk : a bird's eye view

Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535

Persistent link: https://www.econbiz.de/10012439498

International swap market contagion and volatility

Azad, A. S. M. Sohel; Batten, Jonathan A.; Fang, Victor; … - In: Economic modelling 47 (2015), pp. 355-371

Persistent link: https://www.econbiz.de/10011439454

Riding the swaption curve

Duyvesteyn, Johan; Zwart, Gerben Jacobus de - In: Journal of banking & finance 59 (2015), pp. 57-75

Persistent link: https://www.econbiz.de/10011544291

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

Market-based estimation of stochastic volatility models

Aït-Sahalia, Yacine; Amengual, Dante; Manresa, Elena - In: Journal of econometrics 187 (2015) 2, pp. 418-435

Persistent link: https://www.econbiz.de/10011499700

Recursive algorithms for pricing discrete variance options and volatility swaps under time-changed Lévy processes

Zheng, Wendong; Yuen, Chi Hung; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10011455019

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