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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

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

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

Fool's Errand? Robust Identification of Risk Premia and Expectations in Asset Prices

Guimaraes, Rodrigo - 2016

In this paper I show that the difficulty in estimating unconditional means from time series data alone is the cause for the lack of robustness in empirical estimates of the workhorse model in macro-finance. Using US and UK yield curve data and an extensive Monte Carlo study I show that using...

Persistent link: https://www.econbiz.de/10013006567

Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models

Grammig, Joachim; Schaub, Eva-Maria - 2014

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, but caveats concern model solubility and weak identification. We propose a twostep...

Persistent link: https://www.econbiz.de/10010412357

Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing

Grammig, Joachim; Schaub, Eva-Maria - 2014

Persistent link: https://www.econbiz.de/10010390134

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …

Persistent link: https://www.econbiz.de/10011877284

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

Stochastic Volatility and Asset Pricing Puzzles

McQuade, Timothy - 2018

This paper builds a real-options model of the firm with stochastic volatility to shed new light on the value premium … options, such securities hedge against volatility risk and command lower volatility risk premia than the equities of value or … financially healthy firms. Conversely, corporate debt will tend to command large volatility risk premia, allowing the model to …

Persistent link: https://www.econbiz.de/10012913719

Macroeconomic Uncertainty and the Cross-Section of Option Returns

Aramonte, Sirio - 2012

I empirically investigate whether macroeconomic uncertainty is a priced risk factor in the cross-section of equity and index option returns. The analysis employs a non-linear factor model, estimated with the Fama-MacBeth methodology, where the macroeconomic uncertainty factor is the return on a...

Persistent link: https://www.econbiz.de/10013097881