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What's Vol Got to Do With It · Study

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PreprintWhat's Vol Got to Do With It

Itamar Drechsler2008

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Preprintgreen2008

What's Vol Got to Do With It

Itamar Drechsler · Amir Yaron

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

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

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2012The Econometrics of Financial Markets 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles 2007The Impact of Uncertainty Shocks 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 1999Predictive regressions 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

Cited by

2011Risk, Uncertainty and Monetary Policy 2013Tail Risk and Asset Prices 2009Tails, Fears and Risk Premia 2011Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 2014The Impact of Ambiguity on Managerial Investment and Cash Holdings 2010EQUILIBRIUM ASSET AND OPTION PRICING UNDER JUMP DIFFUSION

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2010What's Vol Got to Do with Itarticle · 12 shared references 2009Stochastic Volatilityother · 9 shared references 2013Uncertainty, Time‐Varying Fear, and Asset Pricesarticle · 8 shared references 2016Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidencearticle · 8 shared references 2008AN EQUILIBRIUM GUIDE TO DESIGNING AFFINE PRICING MODELSarticle · 7 shared references 2018Variance Risk Premia, Asset Predictability Puzzles, and Macroeconomic Uncertaintyreview · 7 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations114

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.1081236

openalex_workW1894905729

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2010Explaining asymmetric volatility around the world

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