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Rubio Irigoyen, Gonzalo; León, Angel - Departamento de Fundamentos del Análisis Económico … - 2002

This paper studies the behavior of the implied volatility function (smile) when the true distribution of the underlying asset is consistent with the stochastic volatility model proposed by Heston (1993). The main result of the paper is to extend previous results applicable to the smile as a...

Persistent link: https://www.econbiz.de/10004972704

Variance trading and market price of variance risk

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

This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The...

Persistent link: https://www.econbiz.de/10010795335

A Nonparametric Option Pricing Model Using Higher Moments

Cayton, Peter Julian - Volkswirtschaftliche Fakultät, … - 2015

A nonparametric model that includes non-Gaussian characteristics of skewness and kurtosis is proposed based on the … include cases on nonnormality in skewness and kurtosis, nonconstant variance, moneyness, contract duration, and interest rate …

Persistent link: https://www.econbiz.de/10011262870

Does Realized Skewness Predict the Cross-Section of Equity Returns?

Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013

We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the … skewness and next week?'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells … stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3 …

Persistent link: https://www.econbiz.de/10010851291

Skewness and kurtosis implied by option prices: a second comment

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

sensitivities of option prices to shifts in skewness and kurtosis using parameter values from Corrado- Su (1996) and Brown …

Persistent link: https://www.econbiz.de/10011071378

A characterization of the coskewness–cokurtosis pricing model

Back, Kerry - In: Economics Letters 125 (2014) 2, pp. 219-222

The coskewness–cokurtosis pricing model is equivalent to absence of any positive-alpha return for which the residual risk has positive coskewness and negative cokurtosis with the market. This parallels the CAPM and also the fundamental theorem of asset pricing.

Persistent link: https://www.econbiz.de/10011076544

Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

After the seminal paper of Jarrow and Rudd (1982), several authors have proposed to use different statistical series expansion to price options when the risk-neutral density is asymmetric and leptokurtic. Amongst them, one can distinguish the Gram-Charlier Type A series expansion (Corrado and...

Persistent link: https://www.econbiz.de/10010745304

Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - School of Economics, Singapore Management University - 2004

conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10005091204

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …

Persistent link: https://www.econbiz.de/10005100963

Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - Department of Economics, University of Pennsylvania - 2006

, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. …

Persistent link: https://www.econbiz.de/10005109605