Journal ArticleDOI
The Skew Risk Premium in the Equity Index Market
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TLDR
In this paper, the authors measure the skew risk premium in the equity index market through the skew swap, and they find that almost half of the implied volatility skew can be explained by the skewed risk premium.Citations
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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
TL;DR: A novel and efficient transform-based method to price swaps and options related to discretely-sampled realized variance under a general class of stochastic volatility models with jumps, utilizing frame duality and density projection method combined with a novel continuous-time Markov chain (CTMC) weak approximation scheme of the underlying variance process.
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Good and Bad Variance Premia and Expected Returns
Mete Kilic,Ivan Shaliastovich +1 more
TL;DR: To explain the new empirical evidence, a model is developed that highlights the differential impact of upside and downside risk on equity and variance risk premia and predicts excess returns over the next one and two years.
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Risk Premia: Asymmetric Tail Risks and Excess Returns
Yves Lemperiere,Cyril Deremble,Trung-Tu Nguyen,Philip Seager,Marc Potters,Jean-Philippe Bouchaud +5 more
TL;DR: This article showed that risk premium is strongly correlated with tail-risk skewness, but very little with volatility, and proposed an objective criterion to assess the quality of a risk premium portfolio.
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Risk Premia and the VIX Term Structure
TL;DR: The shape of the VIX term structure conveys information about the price of variance risk rather than expected changes in the Vix, a rejection of the expectations hypothesis as discussed by the authors, and a single principal component, Slope, summarizes nearly all this information, predicting the excess returns of S&P 500 variance swaps, VIX futures, and S&Ps 500 straddles for all maturities and to the exclusion of the rest of the term structure.
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Downside Variance Risk Premium
TL;DR: In this article, the prime de risque de variance en primes de risques a la hausse and a la baisse is decomposified, i.e., the difference entre les deux represent a mesure of the prime of risque dasymetri, the mesure rend compte de l'asymetrie des opinions au sujet des risques favorables ou defavorables.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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The Cross-Section of Volatility and Expected Returns
TL;DR: In this article, the authors examine the pricing of aggregate volatility risk in the cross-section of stock returns and find that stocks with high sensitivities to innovations in aggregate volatility have low average returns.
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Modeling and Forecasting Realized Volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling and forecasting of daily and lower frequency volatility and return distributions.
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Variance Risk Premiums
Peter Carr,Liuren Wu +1 more
TL;DR: In this paper, the authors propose a method for quantifying the variance risk premium on financial assets using the market prices of options written on this asset, which is an over-the-counter contract that pays the difference between a standard estimate of the realized variance and the fixed variance swap rate.
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Bond Risk Premia
John H. Cochrane,Monika Piazzesi +1 more
TL;DR: In this paper, the authors run regressions of annual excess returns on forward rates and find that a single factor predicts 1-year excess return on 1-5 year maturity bonds with an R2 up to 43%.