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Investigating impacts of self-exciting jumps in returns and volatility : a Bayesian learning approach
Fulop, Andras; Li, Junye; Yu, Jun - 2012
Persistent link: https://www.econbiz.de/10010202344
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Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
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Volatility risk premium in Indian options prices
Garg, Sonia; Vipul - In: The journal of futures markets 35 (2015) 9, pp. 795-812
Persistent link: https://www.econbiz.de/10011392659
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Volatility risk and stock return predictability on global financial crises
Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10011797740
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Variance premium and implied volatility in a low-liquidity option market
Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10011898770
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Quantifying the variance risk premium in VIX options
Barnea, Amir; Hogan, Reed - In: The journal of portfolio management : a publication of … 38 (2012) 3, pp. 143-148
Persistent link: https://www.econbiz.de/10009669616
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Quantifying the Variance Risk Premium in VIX Options
Barnea, Amir - 2019
This paper uses synthetically created variance swaps on VIX futures to quantify the variance risk premium in VIX options. The results of this methodology suggest that the average premium is -3.26%, meaning that the realized variance on VIX futures is on average less than the variance implied by...
Persistent link: https://www.econbiz.de/10012905757
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Robust econometric inference for stock return predictability
Kostakis, Alexandros; Magdalinos, Tassos; … - In: The review of financial studies 28 (2015) 5, pp. 1506-1553
Persistent link: https://www.econbiz.de/10011338192
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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018
Persistent link: https://www.econbiz.de/10011977460