Narrow search
Showing 1 - 10 of 19,918
Cover Image
The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
Persistent link: https://www.econbiz.de/10012904441
Cover Image
The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
skew swaps be used to explore the relationship between the skew in implied volatility and realized skew. Like the variance … almost half of the implied volatility skew can be explained by the skew risk premium. We provide evidence that skew and …
Persistent link: https://www.econbiz.de/10012906107
Cover Image
The skew risk premium in the equity index market
Kozhan, Roman; Neuberger, Anthony; Schneider, Paul - In: The review of financial studies 26 (2013) 9, pp. 2174-2203
Persistent link: https://www.econbiz.de/10010207278
Cover Image
Volatility and the pricing kernel
Schreindorfer, David; Sichert, Tobias - 2022 - This draft: January 31, 2022
Persistent link: https://www.econbiz.de/10012816005
Cover Image
Crashes, volatility, and the equity premium : lessons from S&P 500 options
Santa-Clara, Pedro; Yan, Shu - In: The review of economics and statistics 92 (2010) 2, pp. 435-451
Persistent link: https://www.econbiz.de/10008737706
Cover Image
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
Cover Image
Modeling conditional factor risk premia implied by index option returns
Fournier, Mathieu; Jacobs, Kris; Orłowski, Piotr - 2021
Persistent link: https://www.econbiz.de/10013328240
Cover Image
Tail risk aversion and backwardation of index futures
Liang, Jufang; Yang, Dan; Han, Qian - In: Quantitative finance 24 (2024) 3/4, pp. 387-407
Persistent link: https://www.econbiz.de/10014552026
Cover Image
Dynamic relations of uncertainty expectations : a conditional assessment of implied volatility indices
Siriopoulos, Costas; Fassas, Athanasios - In: Review of derivatives research 16 (2013) 3, pp. 233-266
Persistent link: https://www.econbiz.de/10010222960
Cover Image
Equity and CDS sector indices : dynamic models and risk hedging
Caporin, Massimiliano - In: The North American journal of economics and finance : a … 25 (2013), pp. 261-275
Persistent link: https://www.econbiz.de/10009779255