Similar Search Results

Polimenis, Vassilis; Papantonis, Ioannis - In: Journal of risk finance : the convergence of financial … 15 (2014) 2, pp. 131-148

Persistent link: https://www.econbiz.de/10010337468

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011751173

Variation in Option Implied Volatility Spread and Future Stock Returns

DeLisle, Jared - 2020

Equity option markets exhibit intense trading activity. We use the variability of option implied volatility spread as a …. Over the 2006 – 2016 period, we find that the predictive power of option implied volatility spread for future stock returns … is significantly greater when implied volatility spread has been more variable in the past. Our results are statistically …

Persistent link: https://www.econbiz.de/10012836056

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Bali, Turan G. - 2012

exposure to changes in the price of the underlying stock (delta), and exposure to changes in implied volatility (vega) are …-known market, size, book-to-market, momentum, and short-term reversal factors. Additional volatility, stock, and option market …

Persistent link: https://www.econbiz.de/10013111682

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Bali, Turan G. - 2013

exposure to changes in the underlying stock price (delta), and exposure to changes in implied volatility (vega) are removed …-to-market, momentum, short-term reversal, volatility, or option market factors …

Persistent link: https://www.econbiz.de/10013094978

A Multifactor Self-Exciting Jump Diffusion Approach for Modelling the Clustering of Jumps in Equity Returns

Hainaut, Donatien - 2017

This paper introduces a new jump diffusion process where the occurrence and the size of past jumps have an impact on both the instantaneous and the long term propensities of observing a jump instantaneously. Here, the intensity of jump arrival is a multifactor self-excited process whereas the...

Persistent link: https://www.econbiz.de/10012969146