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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …

Persistent link: https://www.econbiz.de/10010472838

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

Persistent link: https://www.econbiz.de/10010412464

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-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...

Persistent link: https://www.econbiz.de/10012391498

Variance risk : a bird's eye view

Hollstein, Fabian; Wese Simen, Chardin - In: Journal of econometrics 215 (2020) 2, pp. 517-535

Persistent link: https://www.econbiz.de/10012439498

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75

Persistent link: https://www.econbiz.de/10011634054

Relative pricing and risk premia in equity volatility markets

Van Tassel, Peter - 2018

significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …

Persistent link: https://www.econbiz.de/10011904683

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

Performance of tail hedged portfolio with third moment variation swap

Lee, Kyungsub; Seo, Byoung Ki - In: Computational economics 50 (2017) 3, pp. 447-471

Persistent link: https://www.econbiz.de/10011783329

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility

Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014250993

Three essays on asset pricing and risk management

Huang, Zhijiang - 2007

Persistent link: https://www.econbiz.de/10003566087

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