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The equity premium and the volatility spread : the role of risk-neutral skewness
Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009
, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and … risk-neutral volatilities is a function of the risk premium and of skewness. In fact, the equity premium is twice the ratio … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that …
Persistent link: https://www.econbiz.de/10003852916
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Estimating the policy rule from money market rates when target rate changes are lumpy
Fontaine, Jean-Sébastien - 2012
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...
Persistent link: https://www.econbiz.de/10009728132
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What does the convenience yield curve tell us about the crude oil market?
Alquist, Ron; Bauer, Gregory H.; Díez de los Ríos, Antonio - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010401755
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Risk premium, variance premium and the maturity structure of uncertainty
Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - 2012
. We also consider the term structure of higher-order risks as measured by skewness and kurtosis and still find that two …
Persistent link: https://www.econbiz.de/10009516775
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What Fed funds futures tell us about monetary policy uncertainty
Fontaine, Jean-Sébastien - 2016
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a "path" factor signaling information about future policy actions, which is filtered from federal funds futures data. The uncertainty is highest when it...
Persistent link: https://www.econbiz.de/10011576374
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On the tail risk premium in the oil market
Ellwanger, Reinhard - 2017
This paper shows that changes in market participants' fear of rare events implied by crude oil options contribute to …
Persistent link: https://www.econbiz.de/10011778000