Results 21 to 30 of about 9,057 (304)
Energies, 2021 Energy transactions in liberalized markets are subject to price and quantity uncertainty. This paper considers the spot price and energy generation to follow a bivariate semi-nonparametric distribution defined in terms of the Gram–Charlier expansion ...
Alfredo Trespalacios +2 more
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Mathematics, 2023 This paper reports our findings on the return dynamics of Bitcoin and Ethereum using high-frequency data (minute-by-minute observations) from 2015 to 2022 for Bitcoin and from 2016 to 2022 for Ethereum. The main objective of modeling these two series was
José Antonio Núñez-Mora +2 more
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Variance-of-Variance Risk Premium [PDF]
Review of Finance, 2017 Abstract This article explores the premium for bearing the variance risk of the VIX index, called the variance-of-variance risk premium. I find that during the sample period from 2006 until 2014 trading strategies exploiting the difference between the implied and realized variance of the VIX index yield average excess returns of − 24.16%
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The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
Croatian Economic Survey, 2017 We use data for 24 European countries, spanning from 1994 to 2015, in order to examine how changes in macroeconomic conditions influence country risk premium volatility proxied by sovereign spreads variance.
Petra Palić +2 more
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Mathematics, 2022 In this work, we study the optimal investment and premium control problem with the short-selling constraint under the mean-variance criterion. The claim process is assumed to follow the non-homogeneous compound Poisson process.
Zilan Liu +3 more
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Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium
Mathematics, 2023 In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and the expected value premium principle.
Wenhua Lv, Linxiao Wei
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Journal of Mathematics, 2021 Liquidity reflects the quality of the market. When the market is short of liquidity, it often causes investors’ trading difficulties and stock price volatility, expanding the investment risk.
Hairong Cui, Jinfeng Fei, Xunfa Lu
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Variance risk premiums in foreign exchange markets [PDF]
Journal of Empirical Finance, 2013 Abstract Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency.
Ammann, Manuel, Buesser, Ralf
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Variance Premium, Downside Risk, and Expected Stock Returns [PDF]
SSRN Electronic Journal, 2017 We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms. The total variance risk premium (VRP) represents the premium paid to insure against fluctuations in bad variance (called bad VRP), net of the premium received to ...
Feunou, Bruno +3 more
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GARCH Option Pricing Models and the Variance Risk Premium [PDF]
Journal of Risk and Financial Management, 2020 In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than in the physical one, so that one is able to capture the ...
Wenjun Zhang, Jin E. Zhang
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