Similar Search Results - EconBiz

The Only Constant Is Change : Non-constant Volatility and Implied Volatility Spreads

Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2022

We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be...

Persistent link: https://www.econbiz.de/10014236536

Internet Appendix to the Only Constant is Change : Non-Constant Volatility and Implied Volatility Spreads

Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - 2023

We examine the predictability of stock returns using implied volatility spreads (VS) from individual (non-index) options. Volatility spreads can occur under simple no-arbitrage conditions for American options when volatility is time-varying, suggesting that the VS-return predictability could be...

Persistent link: https://www.econbiz.de/10014254172

The only constant is change : nonconstant volatility and implied volatility spreads

Campbell, T. Colin; Gallmeyer, Michael F.; Petkevich, Alex - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 5, pp. 2190-2227

Persistent link: https://www.econbiz.de/10014365179

Reverse engineering the yield curve

Backus, David - 1994

Persistent link: https://www.econbiz.de/10000886121

Risk and ambiguity in models of business cycles

Backus, David; Ferriere, Axelle; Zin, Stanley E. - 2014

Persistent link: https://www.econbiz.de/10010393986

Real business-cycle realizations

Smith, Gregor W. - In: Carnegie Rochester conference series on public policy : … 47 (1997), pp. 243-280

Persistent link: https://www.econbiz.de/10001242075

Substitution, risk aversion, and the temporal behavior of consumption and asset returns : an empirical analysis

Epstein, Larry G. - In: Journal of political economy 99 (1991) 2, pp. 263-286

Persistent link: https://www.econbiz.de/10001105913

Risk premiums in the term structure : evidence from artificial economies

Backus, David - In: Journal of monetary economics 24 (1989) 3, pp. 371-399

Persistent link: https://www.econbiz.de/10001075534

Long-memory inflation uncertainty : evidence from the term structure of interest rates

Backus, David - In: Journal of money, credit and banking : JMCB 25 (1993) 3, pp. 681-700

Persistent link: https://www.econbiz.de/10001331336

Arbitrage opportunities in arbitrage-free models of bond pricing

Backus, David - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 1, pp. 13-26

Persistent link: https://www.econbiz.de/10001231059

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