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The Information Content of the Implied Volatility Term Structure on Future Returns

Wang, Yaw-Huei - 2017

We derive the theoretical relation between the term structure of implied variance and the expected excess returns of the underlying asset. Adopting three alternative approaches to compile the variables representing the information on the implied volatility index level and term structure, we show...

Persistent link: https://www.econbiz.de/10012972853

The term structure of option-implied volatility and future realized volatility

Shi, Yukun; Zhang, Hao; Xu, Yaofei; Zhao, Yang - In: Emerging markets, finance & trade : a journal of the … 55 (2019) 13, pp. 2997-3022

Persistent link: https://www.econbiz.de/10012211068

A new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options

Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194

Persistent link: https://www.econbiz.de/10014456945

Treasury option returns and models with unspanned risks

Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui; Hansen, … - In: Journal of financial economics 150 (2023) 3, pp. 1-30

Persistent link: https://www.econbiz.de/10014462650

Zero Yield and Asset Swap Spreads

Caspers, Peter - 2014

We compare zero yield and asset swap spreads both being used to specify the credit risk component in bond pricing. We … investigate how these both figures are related and how the asset swap spread depends on other pricing factors such as the riskfree …

Persistent link: https://www.econbiz.de/10013050952

A monetary policy-based explanation of swap spreads in China

Fan, Longzhen; Hou, Xin; Sun, Qian - In: The journal of futures markets 43 (2023) 11, pp. 1645-1667

Persistent link: https://www.econbiz.de/10014432922

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...

Persistent link: https://www.econbiz.de/10012468275

Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market

Longstaff, Francis A. - 2004

Persistent link: https://www.econbiz.de/10012785748

Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - In: Economic research 32 (2019) 1,4, pp. 3987-4014

Persistent link: https://www.econbiz.de/10012405739

Predictive power of the implied volatility term structure in the fixed-income market

Chen, Ren-Raw; Hsieh, Pei-Lin; Huang, Jeffrey; Li, Xiaowei - In: The journal of futures markets 43 (2023) 3, pp. 349-383

Persistent link: https://www.econbiz.de/10014293073