Results 271 to 280 of about 9,057 (304)
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Variance Risk Premium Demystified
SSRN Electronic Journal, 2008We study the dynamics and cross-sectional properties of the variance risk premia embedded in options on stocks and indices, approximated by the synthetic variance swap returns. Several important stylized facts and contributions arise. First, variance risk premia for indices are systematically larger (more negative) than for individual securities ...
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A non-linear dynamic model of the variance risk premium
Journal of Econometrics, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Eraker, Bjørn, Wang, Jiakou
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The Bitcoin VIX and Its Variance Risk Premium
The Journal of Alternative Investments, 2020The authors acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface They use these prices to construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula ...
Carol Alexander, Arben Imeraj
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2023
In this thesis, a model-free approach for estimating the Variance Risk Premium is implemented by synthesizing Variance Swap Rates from option prices and calculating the Realized Variance for the same period. The analysis is from data spanning from January 1996 to November 2021, giving a large span of Variance Risk Premiums to interpret.
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In this thesis, a model-free approach for estimating the Variance Risk Premium is implemented by synthesizing Variance Swap Rates from option prices and calculating the Realized Variance for the same period. The analysis is from data spanning from January 1996 to November 2021, giving a large span of Variance Risk Premiums to interpret.
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Asset Variance Risk Premium and Capital Structure
Journal of Financial and Quantitative Analysis, 2020AbstractThis article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance with the risk premium.
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Global implied volatility and variance risk premium
SSRN Electronic JournalMotivated by the global nature of financial risk, we propose a simple measure of global implied volatility (GIV) and show that it better describes international financial market dynamics than the VIX. Predictive evidence on both realized and implied volatilities around the world leads to the conclusion of truly global risk dynamics, not merely US ...
Abdulkarim Alhejaili +2 more
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The geopolitical risk premium in the commodity futures market
Journal of Futures Markets, 2023Daxuan Cheng, Yin Liao, Zheyao Pan
exaly
The missing risk premium in exchange rates
Journal of Financial Economics, 2022Magnus Dahlquist, Julien Penasse
exaly
Risk premium spillovers among stock markets: Evidence from higher-order moments
Journal of Financial Markets, 2020Marinela Adriana Finta, Sofiane Aboura
exaly