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Volatility risk and stock return predictability on global financial crises
Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66
Persistent link: https://www.econbiz.de/10011797740
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Implied idiosyncratic volatility and stock return predictability
Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352
Persistent link: https://www.econbiz.de/10011312407
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Variance premium and implied volatility in a low-liquidity option market
Astorino, Eduardo Sanchez; Chague, Fernando; … - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10011898770
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Attention : implied volatility spreads and stock returns
Gao, Xuechen; Wang, Xuewu; Yan, Zhipeng - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 385-398
Persistent link: https://www.econbiz.de/10012312341
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Realized GARCH, CBOE VIX, and the volatility risk premium
Hansen, Peter Reinhard; Huang, Zhuo; Tong, Chen; Wang, … - In: Journal of financial econometrics 22 (2024) 1, pp. 187-223
Persistent link: https://www.econbiz.de/10014526311
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The jump leverage risk premium
Bollerslev, Tim; Todorov, Viktor - In: Journal of financial economics 150 (2023) 3, pp. 1-20
Persistent link: https://www.econbiz.de/10014462640
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The cumulant risk premium
Kyle, Albert S.; Todorov, Karamfil - 2023
Persistent link: https://www.econbiz.de/10014414346
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Jump, diffusion, and long-term volatility risks with incremental information in VIX assets
Chen, Sonnan; Gu, Yuchi - In: The journal of derivatives : JOD 28 (2021) 3, pp. 60-96
Persistent link: https://www.econbiz.de/10012486031
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Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market
Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25
This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …
Persistent link: https://www.econbiz.de/10012219258
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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