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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10011271459
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10005025630
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Risk Price Dynamics
Hansen, Lars Peter; Scheinkman, Jose; Borovička, Jaroslav - National Bureau of Economic Research (NBER) - 2009
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...
Persistent link: https://www.econbiz.de/10008627150
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Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10005774581
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Beliefs, Doubts and Learning: Valuing Economic Risk
Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2007
This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the...
Persistent link: https://www.econbiz.de/10005775165
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Testing Portfolio Efficiency with Conditioning Information
Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006
We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...
Persistent link: https://www.econbiz.de/10005034911
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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert; Hoerova, Marie - National Bureau of Economic Research (NBER) - 2013
tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …
Persistent link: https://www.econbiz.de/10011095630
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jorda, Oscar; Taylor, Alan M.; Schularick, Moritz - National Bureau of Economic Research (NBER) - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …
Persistent link: https://www.econbiz.de/10010969257
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Leverage and Beliefs: Personal Experience and Risk Taking in Margin Lending
Voth, Hans-Joachim; Koudijs, Peter - National Bureau of Economic Research (NBER) - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10010951446
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …
Persistent link: https://www.econbiz.de/10011276429