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Jump Variance Risk : Evidence from Option Valuation and Stock Returns

Chang, Hsuan-Ling - 2019

We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...

Persistent link: https://www.econbiz.de/10012902142

Good Jumps, Bad Jumps, and Conditional Equity Premium

Guo, Hui - 2019

consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …

Persistent link: https://www.econbiz.de/10012904660

Oil Volatility Risk and Expected Stock Returns

Christoffersen, Peter F. - 2014

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …

Persistent link: https://www.econbiz.de/10013058330

Impact of idiosyncratic volatility on stock returns : a cross-sectional study

Khovansky, Serguey; Zhylyevskyy, Oleksandr - In: Journal of banking & finance 37 (2013) 8, pp. 3064-3075

Persistent link: https://www.econbiz.de/10009777131

Idiosyncratic risk and expected returns in frontier markets : evidence from GCC

Bley, Jorg; Saad, Mohsen M. - In: Journal of international financial markets, … 22 (2012) 3, pp. 538-554

Persistent link: https://www.econbiz.de/10009623547

Incomplete information, idiosyncratic volatility and stock returns

Berrada, Tony; Hugonnier, Julien - In: Journal of banking & finance 37 (2013) 2, pp. 448-462

Persistent link: https://www.econbiz.de/10009705642

Market skewness risk and the cross section of stock returns

Chang, Bo Young; Christoffersen, Peter F.; Jakobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68

Persistent link: https://www.econbiz.de/10009715175

An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns

Huffman, Stephen P.; Moll, Cliff R. - In: Review of financial economics : RFE 22 (2013) 1, pp. 8-19

Persistent link: https://www.econbiz.de/10009717860

Volatility risk premium, risk aversion, and the cross-section of stock returns

Nyberg, Peter; Wilhelmsson, Anders - In: The financial review : the official publication of the … 45 (2010) 4, pp. 1079-1100

Persistent link: https://www.econbiz.de/10008698944

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228