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Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
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Information Uncertainty, Volatility Term Structure and Index Option Returns
Zhu, Cai - 2015
In this paper, we explore the relation between information uncertainty and S&P 500 index option returns. Since … recursive preference, it is priced and is able to explain variance premium and cross-section index option returns. In order to … and has better performance to explain cross-section index option returns than traditional symmetric risk factors such as …
Persistent link: https://www.econbiz.de/10013024745
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Commodity risks and the cross-section of equity returns
Brooks, Chris; Miffre, Joëlle; Nneji, Ogonna - In: The British accounting review : the journal of the … 48 (2016) 2, pp. 134-150
Persistent link: https://www.econbiz.de/10011520867
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Robustness to model uncertainty and the nominal term premium puzzle
Xu, Yuan - In: Journal of macroeconomics 44 (2015), pp. 124-137
Persistent link: https://www.econbiz.de/10011570616
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Monetary policy uncertainty and the response of the yield curve to policy shocks
Tillmann, Peter - 2017
This paper studies the non-linear response of the term structure of interest rates to monetary policy shocks. We show that uncertainty about monetary policy changes the way the term structure responds to monetary policy. A policy tightening leads to a significantly smaller increase in long-term...
Persistent link: https://www.econbiz.de/10011661992
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Restrictions on risk prices in dynamic term structure models
Bauer, Michael D. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 196-211
Persistent link: https://www.econbiz.de/10011894602
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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
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Performance analysis of fundamentally-weighted indices in the Croatian capital market
Zoričić, Davor; Dolinar, Denis; Lovretin Golubić, Zrinka - In: Zagreb international review of economics & business 21 (2018), pp. 43-53
Persistent link: https://www.econbiz.de/10011977609
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Are the Fama-French factors really compensation for distress risk?
Groot, Wilma de; Huij, Joop - In: Journal of international money and finance 86 (2018), pp. 50-69
Persistent link: https://www.econbiz.de/10012000470
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The Skew Risk Premium in the Equity Index Market
Kozhan, Roman - 2019
We measure the skew risk premium in the equity index market through the skew swap. We argue that just as variance swaps …
Persistent link: https://www.econbiz.de/10012906107