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Portfolio Return Prediction and Risk Price Heterogeneity
Taylor, Nicholas - 2023
A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...
Persistent link: https://www.econbiz.de/10014350699
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Risk-Return Trade-Off on Currency Portfolios
Byrne, Joseph - 2018
Unconditional asset pricing models have generally found it challenging to identify evidence ofrisk aversion. This paper addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider time-varying relations because investors'...
Persistent link: https://www.econbiz.de/10012912982
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The pricing of idiosyncratic risk : evidence from the implied volatility distribution
Süss, Stephan - In: Financial markets and portfolio management 26 (2012) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009553644
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Volatility risk premium decomposition of LIFFE equity options
Lin, Bing-huei; Lin, Yueh-neng; Chen, Yin-jung - In: International review of economics & finance : IREF 24 (2012), pp. 315-326
Persistent link: https://www.econbiz.de/10009690153
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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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Ex-ante risk factors and required structures of the implied correlation matrix
Schadner, Wolfgang - In: Finance research letters 41 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10013336218
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Consumption risks in option returns
Yang, Shuwen; Aretz, Kevin; Liu, Hening; Zhang, Yuzhao - In: Journal of empirical finance 69 (2022), pp. 285-302
Persistent link: https://www.econbiz.de/10013478527
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Volatility Uncertainty and the Cross-Section of Option Returns
Cao, Jie - 2019
This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and … volatility. Our results hold for different measures of volatility such as implied volatility, EGARCH volatility from daily … returns, and realized volatility from high-frequency data. The results are robust to firm characteristics, stock and option …
Persistent link: https://www.econbiz.de/10012899316
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Hedging Volatility Risk of Exotic Structures Using Variance Derivatives
Zarov, Iliyan Radev - 2012
volatility jump diffusion model …
Persistent link: https://www.econbiz.de/10013113731
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Risk-adjusted time series momentum
Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014
based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …
Persistent link: https://www.econbiz.de/10011293745