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Sentiment risk premia in the cross-section of global equity and currency returns
Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2019 - This version: August 28, 2019
Persistent link: https://www.econbiz.de/10012101492
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Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
Gonçalves, Sílvia - 2005
One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data....
Persistent link: https://www.econbiz.de/10012737560
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Modelling the Implied Volatility Surface : Does Market Efficiency Matter? An Application to Mib30 Index Options
Cassese, Gianluca - 2004
prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …
Persistent link: https://www.econbiz.de/10012738325
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Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface
Gonçalves, Sílvia - 2007
One key stylized fact in the empirical option pricing literature is the existence of an implied volatility surface (IVS). The usual approach consists of fitting a linear model linking the implied volatility to the time to maturity and the moneyness, for each cross section of options data....
Persistent link: https://www.econbiz.de/10012778708
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Option Prices Under Bayesian Learning : Implied Volatility Dynamics and Predictive Densities
Timmermann, Allan - 2004
This paper shows that many of the empirical biases of the Black and Scholes option pricing model can be explained by Bayesian learning effects. In the context of an equilibrium model where dividend news evolve on a binomial lattice with unknown but recursively updated probabilities we derive...
Persistent link: https://www.econbiz.de/10012785657
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A Simple Model of Trading and Pricing Risky Assets Under Ambiguity : Any Lessons for Policy-Makers?
Guidolin, Massimo - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10013160374
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Alternative econometric implementations of multi-factor models of the US financial markets
Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The quarterly review of economics and finance : journal … 53 (2013) 2, pp. 87-111
Persistent link: https://www.econbiz.de/10009745249
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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?
Guidolin, Massimo - 2020
Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …
Persistent link: https://www.econbiz.de/10012828359
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Regime shifts in mean-variance efficient frontiers: some international evidence
Guidolin, Massimo; Ria, Federica - Federal Reserve Bank of St. Louis - 2010
Regime switching models have been assuming an increasingly central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. After reviewing key concepts and technical issues related to...
Persistent link: https://www.econbiz.de/10008690982
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Ambiguity in asset pricing and portfolio choice: a review of the literature
Guidolin, Massimo; Rinaldi, Francesca - In: Theory and Decision 74 (2013) 2, pp. 183-217
equity premium and the risk-free rate puzzles, and the occurrence of trading break-downs. Copyright Springer Science …
Persistent link: https://www.econbiz.de/10010865788