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Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments
16 references·4 citing·41 second hop
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments (2007)Variance Risk Dynamics, Variance Risk Pre…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Variance Risk Premia (2004)Variance Risk PremiaRisk and Volatility: Econometric Models and Financial Practice (2004)Risk and Volatility: Economet…Dynamic derivative strategies (2003)Dynamic derivative strategiesDelta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…Optimal positioning in derivative securities (2001)Optimal positioning in deriva…Expected Option Returns (2001)Expected Option ReturnsDelta-Hedged Gains and the Negative Market Volatility Risk Premium (2001)Delta-Hedged Gains and the Ne…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Expected Option Returns (1999)Expected Option ReturnsDynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (1999)Dynamic Consumption and Portf…The Central Tendency: A Second Factor in Bond Yields (1998)The Central Tendency: A Secon…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Volatility Trading: What Is the Role of the Long-Run Volatility Component? (2012)Volatility Trading: What Is t…HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (2011)HEDGING (CO)VARIANCE RISK WIT…Maximum likelihood estimation of non-affine volatility processes (2010)Maximum likelihood estimation…Volatility as an Asset Class: European Evidence (2007)Volatility as an Asset Class:…A Theory of the Term Structure of Interest Rates (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability (2005)Correlation Risk and Optimal Portfolio Choice (2010)Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options (2010)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Introductory Econometrics for Finance (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Theory of Volatility Spreads (2006)Chapter 15 Volatility and Correlation Forecasting (2006)Parametric and Nonparametric Volatility Measurement (2010)Time Series Regression with a Unit Root (1987)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)The Valuation of Uncertain Income Streams and the Pricing of Options (1976)Prices of State-Contingent Claims Implicit in Option Prices (1978)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Crash-neutral currency carry trades (2014)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Tails, Fears, and Risk Premia (2011)Stock Market Uncertainty and the Stock-Bond Return Relation (2005)Model Specification and Risk Premia: Evidence from Futures Options (2007)Ex Ante Skewness and Expected Stock Returns (2012)
this work references cited by second hop

References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 2003Delta-Hedged Gains and the Negative Market Volatility Risk Premium934 cited
  • 2001Expected Option Returns771 cited
  • 2004Risk and Volatility: Econometric Models and Financial Practice554 cited
  • 2005Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets418 cited
  • 2001Optimal positioning in derivative securities382 cited
  • 1999Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets363 cited
  • 2003Dynamic derivative strategies312 cited
  • 2001Delta-Hedged Gains and the Negative Market Volatility Risk Premium185 cited
  • 1998The Central Tendency: A Second Factor in Bond Yields145 cited
  • 2004Variance Risk Premia138 cited

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  • 1999Expected Option Returns136 cited
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    • 2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS34 cited
    • 2010Maximum likelihood estimation of non-affine volatility processes30 cited
    • 2012Volatility Trading: What Is the Role of the Long-Run Volatility Component?29 cited
    • 2007Volatility as an Asset Class: European Evidence28 cited