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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …
Persistent link: https://www.econbiz.de/10011412294
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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 … significance from the no-arbitrage prices and bounds implied by the variance swap market. The paper examines these pricing errors …
Persistent link: https://www.econbiz.de/10011904683
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Risk Premia and the VIX Term Structure
Johnson, Travis L. - 2018
The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes in the VIX, a rejection of the expectations hypothesis. A single principal component, Slope, summarizes nearly all this information, predicting the excess returns of S&P 500...
Persistent link: https://www.econbiz.de/10012937549
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …
Persistent link: https://www.econbiz.de/10013128856
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 …
Persistent link: https://www.econbiz.de/10011410917
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Price Discovery in Crude Oil Prices
Kim, Cherl-Hyun - 2012
I examine the relative information roles among West Texas Intermediate spot crude price and four futures contracts (F1 through F4) with different maturities. Using a cointegrated system with a non-unitary cointegrating vector, I address price discovery by investigating which price is more...
Persistent link: https://www.econbiz.de/10013114634
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Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-27
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
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Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence
Kumar, Rakesh - 2016
conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE … of two stages GARCH (1,1) model wherein in first stage conditional volatility of both stock markets is estimated, and … then it is used as exogenous variable to estimate further conditional volatility of both stock markets. The study also …
Persistent link: https://www.econbiz.de/10013002313
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Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility
Fenton, Colin P. - 2011
In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year …
Persistent link: https://www.econbiz.de/10013120803
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Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?
Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44
-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …
Persistent link: https://www.econbiz.de/10011471089