Search Results - subject:"Implied Variance"

Park, Yang-Ho - 2019

This paper introduces a new model-free approach to measuring the expectation of market variance using VIX derivatives. This approach shows that VIX derivatives carry different information about future variance than S&P 500 (SPX) options, especially during the 2008 financial crisis. I find that...

Persistent link: https://www.econbiz.de/10012182042

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

Persistent link: https://www.econbiz.de/10011776723

The term structure of systematic and idiosyncratic risk

Hollstein, Fabian; Prokopczuk, Marcel; Wese Simen, Chardin - 2017

Persistent link: https://www.econbiz.de/10011751173

Calibration of local volatility using the local and implied instantaneous variance

Turinici, Gabriel - HAL - 2009

We document the calibration of the local volatility in terms of local and implied instantaneous variances; we first explore the theoretical properties of the method for a particular class of volatilities. We confirm the theoretical results through a numerical procedure which uses a Gauss-Newton...

Persistent link: https://www.econbiz.de/10008791649

Market Variance Risk Premiums in Japan as Predictor Variables and Indicators of Risk Aversion

Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2011

This article evaluates the predictive performance of the market variance risk premium (VRP) in Japan on the Nikkei 225 returns, credit spreads, and the composite index of coincident indicators. Different measures such as expected and ex-post VRPs, which are constructed from model-free implied...

Persistent link: https://www.econbiz.de/10009421790

Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market

Wang, Zhiguang; Fausti, Scott W.; Qasmi, Bashir A. - Economics Department, South Dakota State University - 2010

a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast … variance using the GARCH models. Our implied variance approach, based on variance swap rate, is model independent. We compute … the daily 60-day variance risk premiums based on the difference between the realized variance and implied variance for the …

Persistent link: https://www.econbiz.de/10008568183

Insecticide Use and Crop Selection: A South Dakota Case Study

McDonald, Tia Michelle; Fausti, Scott W.; Keating, … - Economics Department, South Dakota State University - 2010

South Dakota has recently experienced a significant increase in the proportion of acres treated with insecticide. Unfortunately, data on insecticide usage by crop at the county level is not available. The following case study seeks to uncover the reasons for this increase by analyzing...

Persistent link: https://www.econbiz.de/10008867536

Expected Stock Returns and Variance Risk Premia

Bollerslev, Tim; Zhou, Hao - School of Economics and Management, University of Aarhus - 2007

We find that the difference between implied and realized variation, or the variance risk premium, is able to explain more than fifteen percent of the ex-post time series variation in quarterly excess returns on the market portfolio over the 1990 to 2005 sample period, with high (low) premia...

Persistent link: https://www.econbiz.de/10005787556