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Zero-premium Medicare Advantage plans: trends in areas with socioeconomic vulnerability and health needs. [PDF]
Health Aff SchJiang C +9 more
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Quantitative Analysis of Retinal Nerve Fiber Layer Thickness Using SPECTRALIS Glaucoma Module Premium Edition and SPECTRALIS Standard Glaucoma Module. [PDF]
Transl Vis Sci TechnolChen DX +5 more
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Racial Disparities and Personal Responsibility Incentives in Medicaid. [PDF]
Health Serv ResCraig DM +6 more
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An analysis on the correlation structure between equity risk premium and volatility
Journal of Interdisciplinary Mathematics, 2016AbstractThis paper explores the variation and interactions between stock volatility indicators and the market price of risk through a bivariate model. The result reveals that the daily risk premiums of the two indicators follow similar patterns and the GARCH (1, 1) indicator is the most consistent to the predication.
Lelai Shi, Canhua Kang
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Industry variance risk premium, cross‐industry correlation, and expected returns
Journal of Futures Markets, 2022AbstractWe investigate the variance risk premium (VRP) and implied correlation (IC) at the industry level. Using the index and sector exchange‐traded fund options, we construct‐sector VRPs and cross‐sector IC measures. Sector VRPs predict sector returns, and adding the average sector VRP with IC improves predictability. Combining the average sector VRP
Yabei Zhu, Xingguo Luo, Qi Xu
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Jumps and the Correlation Risk Premium: Evidence from Equity Options
SSRN Electronic Journal, 2019This paper breaks the correlation risk premium down into two components: a premium related to the correlation of continuous stock price movements and a premium for bearing the risk of co-jumps. We propose a novel way to identify both premiums based on dispersion trading strategies that go long an index option portfolio and short a basket of option ...
Nicole Branger +2 more
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Quantitative Finance, 2012
Traditional time series or cross-sectional regression procedures yield mixed evidence on maintained hypotheses about the determinants of international equity returns. This paper re-examines how three theory-suggested factors affect equity returns and how the test results may differ between developed and the Asian emerging markets.
Ariff, Mohamed, Marisetty, Vijaya B.
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Traditional time series or cross-sectional regression procedures yield mixed evidence on maintained hypotheses about the determinants of international equity returns. This paper re-examines how three theory-suggested factors affect equity returns and how the test results may differ between developed and the Asian emerging markets.
Ariff, Mohamed, Marisetty, Vijaya B.
openaire +1 more source
Equity Risk Premium and Volatility: A Correlation Structure
SSRN Electronic Journal, 2008This paper investigates the relation between stock market returns and volatility using a bivariate factor model governing the evolution of a volatility indicator and the market price of risk. The model-implied volatility measured by the conditional standard deviation of equity returns is compared with the predictable volatility measured by the expected
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Risk aversion effect on the insurance premium in correlated lines
Journal of Statistics and Management Systems, 2011Abstract The statistical method is adopted to examine the insurance premium in the market with correlated risks of business. We first show that, if an insurance company adopts the traditional method to calculate the premiums it will give a negative profit.
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