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Bond Variance Risk Premia · Study

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PreprintBond Variance Risk Premia

Philippe Mueller2011

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Preprintgreen2011

Bond Variance Risk Premia

Philippe Mueller · Andrea Vedolin · Yu-Min Yen

44 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 2003Liquidity Risk and Expected Stock Returns 2008Market Liquidity and Funding Liquidity 2006The Cross‐Section of Volatility and Expected Returns 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1976The pricing of commodity contracts 2008A Simple Approximate Long-Memory Model of Realized Volatility 2001The Determinants of Credit Spread Changes

Cited by

2012The Swaption Cube 2018Financial sector bailouts, sovereign bailouts, and the transfer of credit risk 2015How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns 2018Market states, sentiment, and momentum in the corporate bond market 2014Out-of-sample bond risk premium predictions: A global common factor 2017Interest rate volatility and risk management: Evidence from CBOE Treasury options

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2016Bond Variance Risk Premiumsarticle · 15 shared references 2009Stochastic Volatilityother · 15 shared references 2015How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returnsarticle · 15 shared references 2018The VIX Premiumarticle · 14 shared references 2014Variance trading and market price of variance riskarticle · 14 shared references 2019A Tractable Framework for Option Pricing with Dynamic Market Maker Inventory and Wealtharticle · 14 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations44

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1787478

openalex_workW1541586030

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2021Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

2014Monetary Policy Uncertainty and Economic Fluctuations