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The VIX, the Variance Premium and Stock Market Volatility

Bekaert, Geert; Hoerova, Marie - National Bureau of Economic Research (NBER) - 2013

tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the …

Persistent link: https://www.econbiz.de/10011095630

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Persistent link: https://www.econbiz.de/10005034911

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Persistent link: https://www.econbiz.de/10005025630

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

Persistent link: https://www.econbiz.de/10005774581

Beliefs, Doubts and Learning: Valuing Economic Risk

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2007

This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the...

Persistent link: https://www.econbiz.de/10005775165

Risk Price Dynamics

Hansen, Lars Peter; Scheinkman, Jose; Borovička, Jaroslav - National Bureau of Economic Research (NBER) - 2009

We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are...

Persistent link: https://www.econbiz.de/10008627150

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

Persistent link: https://www.econbiz.de/10011271459

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jorda, Oscar; Taylor, Alan M.; Schularick, Moritz - National Bureau of Economic Research (NBER) - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …

Persistent link: https://www.econbiz.de/10010969257

Option-Based Credit Spreads

Culp, Christopher L.; Nozawa, Yoshio; Veronesi, Pietro - National Bureau of Economic Research (NBER) - 2014

of asset uncertainty, and bank-related rollover risk. …

Persistent link: https://www.econbiz.de/10011103514

Benchmarks in Search Markets

Duffie, Darrell; Dworczak, Piotr; Zhu, Haoxiang - National Bureau of Economic Research (NBER) - 2014

We analyze the role of benchmarks in over-the-counter markets subject to search frictions. The publication of a benchmark can, under conditions, raise total social surplus by (i) increasing the volume of beneficial trade, (ii) facilitating more efficient trade matching between dealers and...

Persistent link: https://www.econbiz.de/10011093758