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Forecasting international index returns using option-implied variables
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018
Persistent link: https://www.econbiz.de/10011897857
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Forward-looking market risk premium
Duan, Jin-Chuan; Zhang, Weiqi - In: Management science : journal of the Institute for … 60 (2014) 2, pp. 521-538
Persistent link: https://www.econbiz.de/10010258775
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The risk-reversal premium
Hull, Blair; Sinclair, Euan - In: The journal of investment strategies 11 (2022) 1, pp. 59-75
Persistent link: https://www.econbiz.de/10014335810
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The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
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Volatility risk measures and banks' leverage
Anselmi, Giulio - 2024
Persistent link: https://www.econbiz.de/10015046722
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Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …
Persistent link: https://www.econbiz.de/10010459730
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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, and products, including variance swaps, straddles, and...
Persistent link: https://www.econbiz.de/10011904683
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Inflation, deflation, and uncertainty : what drives euro area option-implied inflation expectations and are they still anchored in the sovereign debt crisis?
Scharnagl, Michael; Stapf, Jelena - 2014
options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010415789
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Dynamic jump intensities and risk premiums in crude oil futures and options markets
Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016
Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …
Persistent link: https://www.econbiz.de/10011646275