Results 11 to 20 of about 9,057 (304)
Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty [PDF]
Review of Finance, 2009 Abstract Structural or no-arbitrage asset-pricing models emphasize risk factors that cannot be observed directly. We show that the term structure of risk implicit in option prices can reveal these risk factors. Empirically, the variance term structure reveals two predictors of the bond premium, the equity premium, and the variance ...
Feunou, Bruno +3 more
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The Variance Risk Premium and Capital Structure [PDF]
SSRN Electronic Journal, 2018 This paper investigates how the asset-return variance risk premium changes leverage. I find that the premium lowers leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance with risk premium.
Lotfaliei, Babak
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The variance risk premium and fundamental uncertainty [PDF]
Economics Letters, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian Conrad, Karin Loch
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Variance risk premiums and predictive power of alternative forward variances in the corn market [PDF]
Journal of Futures Markets, 2011 AbstractWe propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐money call and put options as a measure of implied variance. We find negative and time‐varying variance risk premiums (realized variance minus implied variance) in the corn market from 1987 to 2009. Our results contrast with Egelkraut, Garcia, and Sherrick
Wang, Zhiguang +2 more
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The Predictive Power of the Oil Variance Risk Premium [PDF]
SSRN Electronic Journal, 2022 This paper examines the ability of the oil market variance risk premium (VRP) to predict both financial and key macroeconomic series. Interest in understanding the movement of such variables increasingly involves considering measures of investor risk ...
David G. McMillan, Salem Adel Ziadat
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Essays on Volatility and Variance Risk Premium [PDF]
, 2023 The thesis consists of three chapters on volatility and variance risk premium. In second chapter, we analyze volatility-managed strategies in commodity futures markets. We focus on two kinds of strategy: scaling original portfolio before and after its formation by volatility information, and three kinds of portfolio: momentum, basis momentum and carry ...
Su, Xiaoman
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Wavelet Analysis Of Variance Risk Premium Spillovers [PDF]
, 2013 In this paper we construct a variance risk premium spillover index among France, Germany, UK, Switzerland and the US. The variance risk premium is measured by the difference between the difference between the (square) of implied volatility and expected realized variance of the stock market for next month.
Cipollini, A +2 more
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Variance Risk Premiums and the Forward Premium Puzzle [PDF]
SSRN Electronic Journal, 2012 This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock ...
Juan M. Londono, Hao Zhou
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Mathematics, 2022 This work uses classic stochastic dynamic programming techniques to determine the equivalence premium that each of two extraction agents of a non-renewable natural resource must pay to an insurer to cover the risk that the extraction pore explodes.
Rigoberto Real-Miranda +1 more
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A non-parametric approach to determine an efficient premium for drought insurance [PDF]
SocioEconomic Challenges, 2023 Insurance to deal with prolonged drought periods in rural Africa requires a practical method to estimate accurate premium values that minimize economic losses. We use non-parametric methods to determine the risk non-neutral insurer’s premium for drought
Manitra A. Rakotoarisoa, Harry P. Mapp
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