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A Theory of Volatility Spreads
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Cited by:
- Yiguo Sun & Ximing Wu, 2018. "Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study," JRFM, MDPI, vol. 11(2), pages 1-20, June.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014.
"Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty,"
Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
- Feunou, Bruno & Fontaine, Jean-Sébastien & Tédongap, Roméo, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tedongap, 2012. "Risk Premium, Variance Premium and the Maturity Structure of Uncertainty," Staff Working Papers 12-11, Bank of Canada.
- Tim Bollerslev & Viktor Todorov, 2011.
"Tails, Fears, and Risk Premia,"
Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
- Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers 10-33, Duke University, Department of Economics.
- Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
- Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019.
"Skewness risk premium: Theory and empirical evidence,"
International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
- Wolff, Christian & Lehnert, Thorsten & Lin, Yuehao, 2013. "Skewness Risk Premium: Theory and Empirical Evidence," CEPR Discussion Papers 9349, C.E.P.R. Discussion Papers.
- Christian Wolff & Thorsten Lehnert & Yuehao Lin, 2014. "Skewness Risk Premium: Theory and Empirical Evidence," LSF Research Working Paper Series 14-05, Luxembourg School of Finance, University of Luxembourg.
- Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
- Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2024. "Extrapolation and option-implied kurtosis in volatility forecasting," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
- Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
- Lucey, Brian M. & Vigne, Samuel A. & Ballester, Laura & Barbopoulos, Leonidas & Brzeszczynski, Janusz & Carchano, Oscar & Dimic, Nebojsa & Fernandez, Viviana & Gogolin, Fabian & González-Urteaga, Ana , 2018. "Future directions in international financial integration research - A crowdsourced perspective," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 35-49.
- Ozcan Ceylan, 2017.
"Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation,"
Annals of Economics and Finance, Society for AEF, vol. 18(1), pages 99-109, May.
- Ceylan, Özcan, 2016. "Global Risk Aversion Spillover Dynamics and Investors' Attention Allocation," MPRA Paper 71320, University Library of Munich, Germany.
- Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012.
"Probabilistic forecasts of volatility and its risk premia,"
Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
- Worapree Maneesoonthorn & Gael M. Martin & Catherine S. Forbes & Simone Grose, 2010. "Probabilistic Forecasts of Volatility and its Risk Premia," Monash Econometrics and Business Statistics Working Papers 22/10, Monash University, Department of Econometrics and Business Statistics.
- Geon Ho Choe & Kyungsub Lee, 2013. "High moment variations and their application," Papers 1311.4973, arXiv.org.
- Maheu, John M. & McCurdy, Thomas H. & Zhao, Xiaofei, 2013.
"Do jumps contribute to the dynamics of the equity premium?,"
Journal of Financial Economics, Elsevier, vol. 110(2), pages 457-477.
- John M. Maheu & Thomas H. McCurdy & Xiaofei Zhao, 2012. "Do Jumps Contribute to the Dynamics of the Equity Premium?," Working Paper series 47_12, Rimini Centre for Economic Analysis.
- Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018.
"Risk Everywhere: Modeling and Managing Volatility,"
The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
- Pedersen, Lasse Heje & Bollerslev, Tim & Hood, Benjamin & Huss, John, 2018. "Risk Everywhere: Modeling and Managing Volatility," CEPR Discussion Papers 12687, C.E.P.R. Discussion Papers.
- Christoffersen, Peter & Fournier, Mathieu & Jacobs, Kris & Karoui, Mehdi, 2021.
"Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 56(1), pages 65-91, February.
- Peter Christoffersen & Mathieu Fournier & Kris Jacobs & Mehdi Karoui, 2015. "Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk," CREATES Research Papers 2015-54, Department of Economics and Business Economics, Aarhus University.
- Yan Liu & Xiong Zhang, 2023. "Option Pricing Using LSTM: A Perspective of Realized Skewness," Mathematics, MDPI, vol. 11(2), pages 1-21, January.
- Ozcan Ceylan, 2015.
"Limited information-processing capacity and asymmetric stock correlations,"
Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
- Ceylan, Ozcan, 2010. "Limited Information-Processing Capacity and Asymmetric Stock Correlations," MPRA Paper 61587, University Library of Munich, Germany.
- Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
- Corradi, Valentina & Distaso, Walter & Mele, Antonio, 2013. "Macroeconomic determinants of stock volatility and volatility premiums," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 203-220.
- Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
- Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
- Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
- Ricardo Crisóstomo, 2021.
"Estimating real‐world probabilities: A forward‐looking behavioral framework,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
- Ricardo Cris'ostomo, 2020. "Estimating real-world probabilities: A forward-looking behavioral framework," Papers 2012.09041, arXiv.org, revised Jan 2021.
- Ricardo Crisóstomo, 2021. "Estimating real word probabilities: a forward-looking behavioral framework," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022.
"The Time Variation in Risk Appetite and Uncertainty,"
Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
- Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2019. "The Time Variation in Risk Appetite and Uncertainty," NBER Working Papers 25673, National Bureau of Economic Research, Inc.
- José Afonso Faias & Tiago Castel-Branco, 2018. "Out-Of-Sample Stock Return Prediction Using Higher-Order Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-27, September.
- Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
- Fornari, Fabio, 2010. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 722-743, September.
- Nick Taylor, 2017. "Risk Control: Who Cares?," European Financial Management, European Financial Management Association, vol. 23(1), pages 153-179, January.
- González-Urteaga, Ana & Rubio, Gonzalo, 2016. "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, vol. 119(2), pages 353-370.
- Fousseni Chabi-Yo, 2012. "Pricing Kernels with Stochastic Skewness and Volatility Risk," Management Science, INFORMS, vol. 58(3), pages 624-640, March.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023.
"The Variance Risk Premium in Equilibrium Models,"
Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "The Variance Risk Premium in Equilibrium Models," NBER Working Papers 27108, National Bureau of Economic Research, Inc.
- Leonidas S. Rompolis & Elias Tzavalis, 2017. "Retrieving risk neutral moments and expected quadratic variation from option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 955-1002, May.
- Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
- Jin-Chuan Duan & Weiqi Zhang, 2014. "Forward-Looking Market Risk Premium," Management Science, INFORMS, vol. 60(2), pages 521-538, February.
- Monfort, Alain & Pegoraro, Fulvio, 2012.
"Asset pricing with Second-Order Esscher Transforms,"
Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
- Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
- Elyas Elyasiani & Silvia Muzzioli & Alessio Ruggieri, 2016. "Forecasting and pricing powers of option-implied tree models: Tranquil and volatile market conditions," Department of Economics 0099, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Ceylan, Ozcan, 2012. "Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model," GIAM Working Papers 12-4, Galatasaray University Economic Research Center.
- Albers, Stefan, 2023. "The fear of fear in the US stock market: Changing characteristics of the VVIX," Finance Research Letters, Elsevier, vol. 55(PA).
- Goodell, John W. & McGee, Richard J. & McGroarty, Frank, 2020. "Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis," Journal of Banking & Finance, Elsevier, vol. 110(C).
- Alsheikh, Muna Ibrahim, 2020. "Beliefs-dependent utilities do influence firm-specific wealth (executives’ inside equity holdings)," Journal of Economics and Business, Elsevier, vol. 109(C).
- Nieto, Belén & Novales, Alfonso & Rubio, Gonzalo, 2014. "Variance swaps, non-normality and macroeconomic and financial risks," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 257-270.
- Konstantinidi, Eirini & Skiadopoulos, George, 2016.
"How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Alexander Kurov, 2012.
"What determines the stock market's reaction to monetary policy statements?,"
Review of Financial Economics, John Wiley & Sons, vol. 21(4), pages 175-187, November.
- Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
- Tarun Ramadorai, 2012.
"The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium,"
Journal of Finance, American Finance Association, vol. 67(2), pages 479-512, April.
- Ramadorai, Tarun, 2008. "The Secondary Market for Hedge Funds and the Closed-Hedge Fund Premium," CEPR Discussion Papers 6877, C.E.P.R. Discussion Papers.
- Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
- Konstantinidi, Eirini & Skiadopoulos, George, 2016.
"How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns,"
Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
- Felix Brinkmann & Olaf Korn, 2018. "Risk-adjusted option-implied moments," Review of Derivatives Research, Springer, vol. 21(2), pages 149-173, July.
- Jian Chen & Xiaoquan Liu, 2010. "The model-free measures and the volatility spread," Applied Economics Letters, Taylor & Francis Journals, vol. 17(18), pages 1829-1833.
- Kaminska, Iryna & Roberts-Sklar, Matt, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.
- Ederington, Louis H. & Guan, Wei, 2013. "The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3388-3400.
- McGee, Richard J. & McGroarty, Frank, 2017. "The risk premium that never was: A fair value explanation of the volatility spread," European Journal of Operational Research, Elsevier, vol. 262(1), pages 370-380.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics, Elsevier, vol. 100(3), pages 496-513, June.
- Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
- Juan M. Londono & Mary Tian, 2014. "Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis," International Finance Discussion Papers 1117, Board of Governors of the Federal Reserve System (U.S.).
- Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
- Ricardo Crisóstomo, 2021. "Estimación de probabilidades representativas del mundo real: importancia de los sesgos conductuales," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
- Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
- Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2019.
"A New Predictor of U.S. Real Economic Activity: The S&P 500 Option Implied Risk Aversion,"
Management Science, INFORMS, vol. 65(10), pages 4927-4949, October.
- Renato Faccini & Eirini Konstantinidi & George Skiadopoulos & Sylvia Sarantopoulou-Chiourea, 2018. "A New Predictor of US. Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 850, Queen Mary University of London, School of Economics and Finance.
- Thaddeus Neururer, 2020. "Past managerial guidance and returns to variance trading around earnings announcements," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2995-3031, September.
- Corte, Pasquale Della & Kozhan, Roman & Neuberger, Anthony, 2021. "The cross-section of currency volatility premia," Journal of Financial Economics, Elsevier, vol. 139(3), pages 950-970.
- Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015.
"Tail risk premia and return predictability,"
Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
- Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
- Erik Vogt, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York.
- Torben G. Andersen & Oleg Bondarenko, 2007.
"Construction and Interpretation of Model-Free Implied Volatility,"
CREATES Research Papers
2007-24, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Oleg Bondarenko, 2007. "Construction and Interpretation of Model-Free Implied Volatility," NBER Working Papers 13449, National Bureau of Economic Research, Inc.
- Cipollini, Andrea & Lo Cascio, Iolanda & Muzzioli, Silvia, 2018. "Risk aversion connectedness in five European countries," Economic Modelling, Elsevier, vol. 71(C), pages 68-79.
- Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: Extracting what has been left," Journal of Financial Stability, Elsevier, vol. 53(C).
- Fornari, Fabio, 2008. "Assessing the compensation for volatility risk implicit in interest rate derivatives," Working Paper Series 859, European Central Bank.
- Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
- Polkovnichenko, Valery & Zhao, Feng, 2013. "Probability weighting functions implied in options prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 580-609.
- Yoon, Sun-Joong, 2017. "Time-varying risk aversion and return predictability," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 327-339.
- Kiriu, Takuya & Hibiki, Norio, 2024. "The impact of macroeconomic announcements on risk, preference, and risk premium," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 842-857.
- Pakorn Aschakulporn & Jin E. Zhang, 2022. "Bakshi, Kapadia, and Madan (2003) risk‐neutral moment estimators: An affine jump‐diffusion approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 365-388, March.
- Yue, Tian & Ruan, Xinfeng & Gehricke, Sebastian & Zhang, Jin E., 2023. "The volatility index and volatility risk premium in China," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 40-55.
- Bevilacqua, Mattia & Tunaru, Radu, 2021. "The SKEW index: extracting what has been left," LSE Research Online Documents on Economics 108198, London School of Economics and Political Science, LSE Library.
- Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
- Qingjing Zhang & Taufiq Choudhry & Jing-Ming Kuo & Xiaoquan Liu, 2021. "Does liquidity drive stock market returns? The role of investor risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 929-958, October.
- Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predicting inflation expectations: A habit-based explanation under hedging," International Review of Financial Analysis, Elsevier, vol. 89(C).
- José Da Fonseca & Yahua Xu, 2019. "Variance and skew risk premiums for the volatility market: The VIX evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 302-321, March.
- Jiang, Zhengyun & Zhou, Xin, 2024. "Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 378-399.
- Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
- Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.