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The Distribution of Uncertainty: Evidence from the VIX Options Market
16 references·0 citing·41 second hop
The Distribution of Uncertainty: Evidence from the VIX Options Market (2014)The Distribution of Uncertainty: Evidence…Tails, Fears, and Risk Premia (2011)Tails, Fears, and Risk PremiaUnderstanding the VIX (2009)Understanding the VIXThe Impact of Uncertainty Shocks (2009)The Impact of Uncertainty Sho…The Impact of Uncertainty Shocks (2007)The Impact of Uncertainty Sho…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Empirical pricing kernels (2002)Empirical pricing kernelsThe distribution of realized stock return volatility (2001)The distribution of realized …The Investor Fear Gauge (2000)The Investor Fear GaugeRecovering Risk Aversion from Option Prices and Realized Returns (2000)Recovering Risk Aversion from…The relation between implied and realized volatility (1998)The relation between implied …Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…The Informational Content of Implied Volatility (1993)The Informational Content of …The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)The Crash of ʼ87: Was It Expe…Prices of State-Contingent Claims Implicit in Option Prices (1978)Prices of State-Contingent Cl…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Specification Tests in Econometrics (1978)Generalized autoregressive conditional heteroskedasticity (1986)Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Momentum crashes (2016)The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Theory of Value (1959)Implied Binomial Trees (1994)Implied Volatility Functions: Empirical Tests (1998)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Measuring Uncertainty (2015)Measuring Economic Policy Uncertainty* (2016)Measuring Geopolitical Risk (2022)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The Term Structure as a Predictor of Real Economic Activity (1991)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Credit Spreads and Business Cycle Fluctuations (2012)Model Specification and Risk Premia: Evidence from Futures Options (2007)The VIX, the variance premium and stock market volatility (2014)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2009The Impact of Uncertainty Shocks5,941 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
  • 2007The Impact of Uncertainty Shocks2,111 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 1998The relation between implied and realized volatility1,114 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 1991The Crash of ʼ87: Was It Expected? The Evidence from Options Markets874 cited
  • 2000Recovering Risk Aversion from Option Prices and Realized Returns837 cited
  • 2011Tails, Fears, and Risk Premia814 cited
  • 1993The Informational Content of Implied Volatility761 cited
  • 2002Empirical pricing kernels687 cited
  • 2009Understanding the VIX650 cited

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