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This paper shows that the VIX market contains information on the variance of the S&P 500 returns, which is not already spanned by the S&P 500 market. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...
Persistent link: https://www.econbiz.de/10010256394
This paper studies the information content of the S&P 500 and VIX markets on the volatility of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. An extensive model specification analysis reveals that...
Persistent link: https://www.econbiz.de/10011410916
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We jointly explain the variations of the equity and value premium in a model with both short-run (SRR) and long-run (LRR) consumption risk. In our preliminary empirical analysis, we find that SRR varies with the business cycle and it has a substantial predictive power for market excess returns...
Persistent link: https://www.econbiz.de/10012844050
This paper shows that the VIX market contains information that is not already contained by the S&P 500 market on the variance of the S&P 500 returns. We estimate a flexible affine model based on a joint time series of underlying indexes and option prices on both markets. We find that including...
Persistent link: https://www.econbiz.de/10012969159
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