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Are extreme returns priced in the stock market? : European evidence
Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411
Persistent link: https://www.econbiz.de/10010126415
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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
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Asset pricing with regime-dependent preferences and learning
Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013
of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …
Persistent link: https://www.econbiz.de/10010256362
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Market sentiment and the Fama-French factor premia
Shamsuddin, Abdul; Kim, Jae H. - In: Economics letters 136 (2015), pp. 129-132
Persistent link: https://www.econbiz.de/10011435995
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A global factor in variance risk premia and local bond pricing
Kaminska, Iryna; Roberts-Sklar, Matt - 2015
Persistent link: https://www.econbiz.de/10011443308
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Funding liquidity, market liquidity and the cross-section of stock returns
Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2016
Persistent link: https://www.econbiz.de/10011458739
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The skewness risk premium in equilibrium and stock return predictability
Sasaki, Hiroshi - In: Annals of finance 12 (2016) 1, pp. 95-133
Persistent link: https://www.econbiz.de/10011555439
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Predictability of time-varying jump premiums : evidence based on calibration
Wang, Kent; Guo, Yuqiang - In: Australian journal of management 39 (2014) 3, pp. 369-394
Persistent link: https://www.econbiz.de/10010422038
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Option-implied term structures
Vogt, Erik - 2014
portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses … nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the …
Persistent link: https://www.econbiz.de/10010459730