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The equity premium and the volatility spread: The role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk...

Persistent link: https://www.econbiz.de/10010279907

The equity premium and the volatility spread : the role of risk-neutral skewness

Feunou, Bruno; Fontaine, Jean-Sébastien; Tedongap, Roméo - 2009

Persistent link: https://www.econbiz.de/10003852916

Asymmetric dynamics in correlations of treasury and swap markets : evidence from the US market

Toyoshima, Yuki; Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of international financial markets, … 22 (2012) 2, pp. 381-394

Persistent link: https://www.econbiz.de/10009581695

The co-movement of credit default swap, bond and stock markets : an empirical analysis

Norden, Lars; Weber, Martin - In: European financial management : the journal of the … 15 (2009) 3, pp. 529-562

Persistent link: https://www.econbiz.de/10003841055

The compatibility of one-factor market models in caps and swaptions markets : evidence from their dynamic hedging performance

An, Yunbi; Suo, Wulin - In: The journal of futures markets 28 (2008) 2, pp. 109-130

Persistent link: https://www.econbiz.de/10003647668

Volatility spillovers across international swap markets : the US, Japan, and the UK

In, Francis Haeuck - In: Journal of international money and finance 26 (2007) 3, pp. 329-341

Persistent link: https://www.econbiz.de/10003441989

Stochastic volatilities and correlations of bond yields

Han, Bing - In: The journal of finance : the journal of the American … 62 (2007) 3, pp. 1491-1524

Persistent link: https://www.econbiz.de/10003477383

Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131

Persistent link: https://www.econbiz.de/10003916314

Linking caplets and swaptions prices in the LMM-SABR model

Rebonato, Riccardo; White, Richard - In: The journal of computational finance 13 (2009/10) 2, pp. 19-45

Persistent link: https://www.econbiz.de/10003949865

On pricing and hedging in the swaption market : how many factors, really?

Fan, Rong; Gupta, Anurag; Ritchken, Peter H. - In: The journal of derivatives : the official publication … 15 (2007) 1, pp. 9-33

Persistent link: https://www.econbiz.de/10003611410