Showing 1 - 10 of 37
Persistent link: https://www.econbiz.de/10012594641
The cross-section of stock returns has substantial exposure to risk captured by higher moments in market returns. We estimate these moments from daily S&P 500 index option data. The resulting time series of factors are thus genuinely conditional and forward-looking. Stocks with high...
Persistent link: https://www.econbiz.de/10013155974
Persistent link: https://www.econbiz.de/10009161204
Persistent link: https://www.econbiz.de/10009533372
Equity risk measured by beta is of great interest to both academics and practitioners. Existing estimates of beta use historical returns. Many studies have found option-implied volatility to be a strong predictor of future realized volatility. We find that option-implied volatility and skewness...
Persistent link: https://www.econbiz.de/10013116997
When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the conditional variance of expected profits from the...
Persistent link: https://www.econbiz.de/10014400299
Persistent link: https://www.econbiz.de/10011987533
Persistent link: https://www.econbiz.de/10011499780
We decompose the quadratic payoff on a stock into its loss and gain components and measure the premia associated with their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the premium paid for downside risk hedging, while the gain QRP...
Persistent link: https://www.econbiz.de/10012899155
In this paper, we estimate the distribution of future inflation and growth in real gross domestic product (GDP) for the Canadian economy at a daily frequency. To do this, we model the conditional moments (mean, variance, skewness and kurtosis) of inflation and GDP growth as moving averages of...
Persistent link: https://www.econbiz.de/10014343001