Search Results - subject:"Variance risk premium"

Variance risk premium components and international stock return predictability

Londono, Juan M.; Xu, Nancy R. - 2019

Persistent link: https://www.econbiz.de/10012004721

Forecasting variance swap payoffs

Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164

Persistent link: https://www.econbiz.de/10013465873

Can information on the distribution of ZAR returns be used to improve SARB's ZAR forecasts?

Greenwood-Nimmo, Matthew; Steenkamp, Daan; Van … - 2022

Persistent link: https://www.econbiz.de/10013380732

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … premium. These results are robust in a number of dimensions. We rationalize our findings within a consumption-based model with …

Persistent link: https://www.econbiz.de/10014433708

Option pricing with state-dependent pricing kernel

Tong, Chen; Hansen, Peter Reinhard; Huang, Zhuo - In: The journal of futures markets 42 (2022) 8, pp. 1409-1433

Persistent link: https://www.econbiz.de/10013287978

The VIX's term structure of individual active stocks

Qadan, Mahmoud; David, Or; Snunu, Iyad; Shuval, Kerem - In: Finance research letters 61 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014491016

The cash-secured put-write strategy and the variance risk premium

Patel, Pratish; Raquel, Andrew; Chadwick, Savannah - In: Journal of asset management : a major new, … 25 (2024) 1, pp. 31-50

Persistent link: https://www.econbiz.de/10014511610

Default risk and option returns

Vasquez, Aurelio; Xiao, Xiao - In: Management science : journal of the Institute for … 70 (2024) 4, pp. 2144-2167

Persistent link: https://www.econbiz.de/10014519915

Investors' risk aversion and government policy responses to the COVID-19 pandemic

Fassas, Athanasios P. - In: Applied economics letters 31 (2024) 18, pp. 1915-1920

Persistent link: https://www.econbiz.de/10015084955

Why do rational investors like variance at the peak of a crisis? : a learning-based explanation

Ghaderi, Mohammad; Kilic, Mete; Seo, Sang Byung - In: Journal of monetary economics 142 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015071160