Narrow search
Showing 1 - 10 of 551
Cover Image
Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
Persistent link: https://www.econbiz.de/10011796505
Cover Image
Efficiency in Large Dynamic Panel Models withCommon Factor
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2010
This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamicpanel models with common unobservable factor. These models are especially relevantfor applications to large portfolios of credits, corporate bonds, or life insurance contracts, andare recommended in the...
Persistent link: https://www.econbiz.de/10009305085
Cover Image
Implied Volatility at Expiration
Medvedev, Alexey - National Centre of Competence in ResearchFinancial … - 2008
The main result of the paper is a formula for zero time-to-maturity limit ofimplied volatilities of European options under a broad class of stochastic volatilitymodels. Based on this formula, we propose a closed-form approximation of theimplied volatility smile.[...]
Persistent link: https://www.econbiz.de/10005868991
Cover Image
Multivariate return decomposition: Theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolay - 2015
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011460618
Cover Image
Beta Regimes for the Yield Curve
Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...
Persistent link: https://www.econbiz.de/10005858872
Cover Image
Evidence for a hyperbolic-like distribution of asset returns drawn from a simple economical financial markets model
Stefan Reimann - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Risk management and asset pricing benefit from simple functional descriptions of the distribution of real asset returns. Recently, several authors have proposed that asset returns in real stock markets are distributed according to a hyperbolic distribution. While asset returns are generated by...
Persistent link: https://www.econbiz.de/10005858882
Cover Image
Can standard preferences explain the prices of out-of-the-money S&P 500 put options?
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2011
and option markets in the framework of rational expectations, consistent with the notion that these two markets are …
Persistent link: https://www.econbiz.de/10010292137
Cover Image
Explaining asset pricing puzzles associated with the 1987 market crash
Benzoni, Luca; Collin-Dufresne, Pierre; Goldstein, Robert S. - 2010
in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of …
Persistent link: https://www.econbiz.de/10010292171
Cover Image
Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market
Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014
We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency … data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes … and maturities and are uncorrelated with jumps in the underlying futures price. 14% to 28% of detected option price jumps …
Persistent link: https://www.econbiz.de/10011381002
Cover Image
Ambiguity aversion and variance premium
Miao, Jianjun; Wei, Bin; Zhou, Hao - 2018
This paper offers an ambiguity-based interpretation of variance premium - the difference between risk-neutral and objective expectations of market return variance - as a compounding effect of both belief distortion and variance differential regarding the uncertain economic regimes. Our approach...
Persistent link: https://www.econbiz.de/10012030280