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The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert; Hoerova, Marie - 2014

Persistent link: https://www.econbiz.de/10010382050

Why does higher variability of trading activity predict lower expected returns?

Barinov, Alexander - In: Journal of banking & finance 58 (2015), pp. 457-470

Persistent link: https://www.econbiz.de/10011544044

Systemic co-jumps

Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...

Persistent link: https://www.econbiz.de/10011544772

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Explicitly modeling this volatility risk is fundamental. We propose a dually asymmetric realized …

Persistent link: https://www.econbiz.de/10011553303

Market volatility and momentum

Wang, Kevin Q.; Xu, Jianguo - In: Journal of empirical finance 30 (2015), pp. 79-91

Persistent link: https://www.econbiz.de/10011489219

VIX forecasting and variance risk premium : a new GARCH approach

Liu, Qiang; Guo, Shuxin; Qiao, Gaoxiu - In: The North American journal of economics and finance : a … 34 (2015), pp. 314-322

Persistent link: https://www.econbiz.de/10011540131

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

Persistent link: https://www.econbiz.de/10010472838

The VIX, the variance premium and stock market volatility

Bekaert, Geert; Hoerova, Marie - In: Journal of econometrics 183 (2014) 2, pp. 181-192

Persistent link: https://www.econbiz.de/10010506065

Foreign exchange risk and the predictability of carry trade returns

Cenedese, Gino; Sarno, Lucio; Tsiakas, Ilias - In: Journal of banking & finance 42 (2014), pp. 302-313

Persistent link: https://www.econbiz.de/10010408374

How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns

Konstantinidi, Eirini; Skiadopoulos, George - 2014

maturities and investment horizons and they are economically significant. Volatility trading strategies which condition on the …

Persistent link: https://www.econbiz.de/10010412464