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Variance trading and market price of variance risk

Bondarenko, Oleg - In: Journal of econometrics 180 (2014) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10010379480

Asset pricing under uncertainty about shock propagation

Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013

sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

Persistent link: https://www.econbiz.de/10010226589

Portfolio optimization under partial information and convex constraints in a hidden Markov model

Sass, Jörn - In: Operations research proceedings 2005 : selected papers …, (pp. 223-228). 2006

Persistent link: https://www.econbiz.de/10003347537

Portfolio optimization for a large investor under partial information and price impact

Eksi, Zehra; Ku, Hyejin - In: Mathematical methods of operations research 86 (2017) 3, pp. 601-623

Persistent link: https://www.econbiz.de/10011793402

Pairs trading under drift uncertainty and risk penalization

Altay, Sühan; Colaneri, Katia; Eksi-Altay, Zehra - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-24

Persistent link: https://www.econbiz.de/10011956923

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Anticipating Jumps : Decomposition of Straddle Prices

Chen, Bei; Gan, Quan; Vasquez, Aurelio - 2022

We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The …. We use the straddle decomposition to analyze the volatility risk premium and the jump risk premium embedded in a straddle …. We find that the jump risk portfolio generates positive returns before earnings announcements and negative returns …

Persistent link: https://www.econbiz.de/10013314070

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://www.econbiz.de/10013465942

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Heat kernel models for asset pricing

Macrina, Andrea - In: International journal of theoretical and applied finance 17 (2014) 7, pp. 1-34

Persistent link: https://www.econbiz.de/10010498834