Narrow search
Showing 1 - 10 of 6,728
Cover Image
Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
Cover Image
Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10010459730
Cover Image
Modeling Conditional Factor Risk Premia Implied by Index Option Returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
We propose a novel factor model for option returns. Option exposures are estimated nonparametrically and factor risk premia can vary nonlinearly with states. The model is estimated using regressions, with minimal assumptions on factor and option return dynamics. Using index options, we...
Persistent link: https://www.econbiz.de/10013213854
Cover Image
An Analysis of Volatility Spread via the Risk-Free Rate Proxy
Hin, Lin-Yee - 2015
The paper studies estimation of implied volatility and the impact of the choice of the corresponding risk-free rate … proxy. We suggest to analyze the implied volatility and the risk-free rate proxy inferred in conjunction from the observed … to narrower volatility spread, or the difference between implied and realized volatilities …
Persistent link: https://www.econbiz.de/10013034123
Cover Image
On the tail risk premium in the oil market
Ellwanger, Reinhard - 2017
oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail … uncertainty measures, suggesting that time-varying oil price fears are an additional source of oil price volatility and …
Persistent link: https://www.econbiz.de/10011778000
Cover Image
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392
Cover Image
The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …
Persistent link: https://www.econbiz.de/10012938568
Cover Image
The Volatility of Long-Term Bond Returns : Persistent Interest Shocks and Time-Varying Risk Premiums
Osterrieder, Daniela - 2018
predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of … innovations in the level factor to explain the volatility of long-term bond returns. The model also implies that excess bond …
Persistent link: https://www.econbiz.de/10012940149
Cover Image
The Law of One Price in Equity Volatility Markets
Van Tassel, Peter - 2020
This paper documents law of one price violations in equity volatility markets. While tightly linked by no …
Persistent link: https://www.econbiz.de/10014351935
Cover Image
Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices
Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35
. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …
Persistent link: https://www.econbiz.de/10011539896