Showing 1 - 10 of 48
The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the S&P VIX index compiled by the CBOE. The data suggest that stock market volatility is best described as a pure jump process without a continuous...
Persistent link: https://www.econbiz.de/10008549052
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
Persistent link: https://www.econbiz.de/10011271459
The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the Samp;P VIX index compiled by the CBOE. The data suggest that stock market volatility is best described as a pure jump process without a continuous...
Persistent link: https://www.econbiz.de/10012723597
Motivated by the implications from a stylized equilibrium pricing framework, we investigate empirically how individual equity prices respond to continuous, or \smooth," and jumpy, or \rough," market price moves, and how these different market price risks, or betas, are priced in the...
Persistent link: https://www.econbiz.de/10011096184
We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...
Persistent link: https://www.econbiz.de/10013005591
This paper examines the investment horizon effects in the presence of estimation risk using data from the Hungarian Stock Market. The estimation risk is introduced using Bayesian updating. The analysis is performed using numerical integration techniques and working only with static investment...
Persistent link: https://www.econbiz.de/10012740282
We develop tests for deciding whether a large cross-section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012215377
We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...
Persistent link: https://www.econbiz.de/10013189761
We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in the S&P 500 market index. The probability of rare events vary significantly over time, increasing in periods of high market volatility, but the risk premium for tail events...
Persistent link: https://www.econbiz.de/10004980201
The variance risk premium, defined as the difference between actual and risk-neutralized expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be...
Persistent link: https://www.econbiz.de/10011096183