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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …
Persistent link: https://www.econbiz.de/10011904683
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Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …
Persistent link: https://www.econbiz.de/10011897782
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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
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The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
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The role of stock markets vs. the term spread in forecasting macrovariables in Finland
Kuosmanen, Petri; Vataja, Juuso - In: The quarterly review of economics and finance : journal … 51 (2011) 2, pp. 124-132
Persistent link: https://www.econbiz.de/10009270178
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Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures
Erdogan, Oral - 2016
This paper extends the benchmark Estrella and Hardouvelis (1991) term spread approach to recession forecasting by including the stock market macro liquidity deviation factor. We use a probit framework to predict US business cycles, as defined by the NBER between 1959Q1 and 2011Q4. We find that...
Persistent link: https://www.econbiz.de/10013007569
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Comparing models for forecasting the yield curve
Matsumura, Marco Shinobu; Moreira, Ajax - 2015
The evolution of the yields of different maturities is related and can be described by a reduced number of commom latent factors. Multifactor interest rate models of the finance literature, common factor models of the time series literature and others use this property. Each model has advantages...
Persistent link: https://www.econbiz.de/10012053243
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Why Does Higher Variability of Trading Activity Predict Lower Expected Returns?
Barinov, Alexander - 2015
The paper shows that controlling for the aggregate volatility risk factor eliminates the puzzling negative relation …
Persistent link: https://www.econbiz.de/10013038610
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Oil Volatility Risk and Expected Stock Returns
Christoffersen, Peter - 2014
After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …
Persistent link: https://www.econbiz.de/10013058330
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667