Academic Journal
Inferring Volatility Dynamics and Risk Premia from the S&P 500 ad VIXMarkets
| العنوان: | Inferring Volatility Dynamics and Risk Premia from the S&P 500 ad VIXMarkets |
|---|---|
| المؤلفون: | Chris Bardgett, Elise Gourier, Markus Leippold, Yacine Aït-Sahalia, Peter Christoffersen, Jérôme Detemple, Garland Durham, Damir Filipović, Andras Fulop, Michael Johannes, Loriano Mancini, Chay Ornthanalai, Andrew Papanicolaou, Chris Rogers, Ronnie Sircar, Josef Teichmann, Fabio Trojani, Anders Trolle, Alexandre Ziegler |
| المساهمون: | The Pennsylvania State University CiteSeerX Archives |
| المصدر: | http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf. |
| سنة النشر: | 2014 |
| المجموعة: | CiteSeerX |
| الوصف: | This paper investigates the information contained in the S&P 500 and VIX markets. We estimate a flexible affine model over a time series of underlying indices and option prices on both markets simultaneously. We find that the S&P 500 and VIX derivatives markets contain conflicting information on variance, especially during market distress. We analyze the information spanned by each market on the distributions and tail properties of S&P 500 returns and their variance process. An extensive model specification analysis reveals that jumps and two variance factors help reproduce these distributions and play a significant role in the variance risk premium. |
| نوع الوثيقة: | text |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1081.6556; http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf |
| الاتاحة: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.1081.6556 http://www.elisegourier.com/uploads/3/7/9/6/37964671/researchpaper_consistentmodel_spx_vix_egourier.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| رقم الانضمام: | edsbas.36DD34A |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |