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On the nature of (jump) skewness risk premia

Orłowski, Piotr; Schneider, Paul; Trojani, Fabio - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1154-1174

Persistent link: https://www.econbiz.de/10014513916

A time-varying jump tail risk measure using high-frequency options data

Ubukata, Masato - In: Empirical economics : a quarterly journal of the … 63 (2022) 5, pp. 2633-2653

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Predicting the equity market with option implied variables

Prokopczuk, Marcel; Tharann, Björn; Wese Simen, Chardin - 2017

returns and realized variance. The correlation risk premium (CRP) emerges as a strong predictor of both excess returns and … than 4.63% per annum. In contrast, the variance risk premium (VRP), which strongly predicts excess returns, does not lead …

Persistent link: https://www.econbiz.de/10011751188

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi …

Persistent link: https://www.econbiz.de/10011299966

Too good to be true? : an analysis of the options market's reactions to earnings releases

Lu, Yan; Ray, Sugata - In: Journal of business finance & accounting : JBFA 43 (2016) 7/8, pp. 830-848

Persistent link: https://www.econbiz.de/10011627641

Cross-sectional variation of option-implied volatility skew

Wu, Liuren; Tian, Meng - In: Management science : journal of the Institute for … 70 (2024) 6, pp. 3566-3580

Persistent link: https://www.econbiz.de/10014551903

Volatility risk premium decomposition of LIFFE equity options

Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326

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Volatility-of-volatility and tail risk hedging returns

Park, Yang-Ho - In: Journal of financial markets 26 (2015), pp. 38-63

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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets

Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96

Persistent link: https://www.econbiz.de/10012486031

Consumption risks in option returns

Yang, Shuwen; Aretz, Kevin; Liu, Hening; Zhang, Yuzhao - In: Journal of empirical finance 69 (2022), pp. 285-302

Persistent link: https://www.econbiz.de/10013478527

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