Similar Search Results

Jump and Volatility Risk and Risk Premia : A New Model and Lessons from S&P 500 Options

Santa-Clara, Pedro - 2004

We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index … about twice the premium required to compensate the same investor for the realized volatility, 5.8 percent. Moreover, the ex …

Persistent link: https://www.econbiz.de/10012467775

International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

Brandt, Michael W. - 2001

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...

Persistent link: https://www.econbiz.de/10012470316

Specification Analysis of Affine Term Structure Models

Dai, Qiang - 1997

-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute …

Persistent link: https://www.econbiz.de/10012472684

Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 1997

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

Persistent link: https://www.econbiz.de/10012472795

Beyond Arbitrage : "Good-Deal" Asset Price Bounds in Incomplete Markets

Cochrane, John H. - 1996

including the Black-Scholes setup with infrequent trading, and a model with stochastic stock volatility and a varying riskfree …

Persistent link: https://www.econbiz.de/10012473370

Recent Estimates of Time-Variation in the Conditional Variance and in the Exchange Risk Premium

Frankel, Jeffrey A. - 1987

The optimal-diversification model of investors' portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance. This note surveys recent empirical work that allows for the conditional variance itself, and therefore the risk premium,...

Persistent link: https://www.econbiz.de/10012476701

Monetary Policy and Exchange Rate Returns : Time-Varying Risk Regimes

Calomiris, Charles W. - 2019

We develop an empirical model of exchange rate returns, applied separately to samples of developed (DM) and developing (EM) economies' currencies against the dollar. Monetary policy stance of the global central banks, measured via a natural-language-based approach, has a large effect on exchange...

Persistent link: https://www.econbiz.de/10012479665