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The term structure of equity and variance risk premia · Study

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ArticleThe term structure of equity and variance risk premia

Yacine Aı̈t-Sahalia2020

Article2020

The term structure of equity and variance risk premia

Yacine Aı̈t-Sahalia · Mustafa Karaman · Loriano Mancini

95 citations·0/0 files stored·Journal of Econometrics

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

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References

1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 1997Empirical Performance of Alternative Option Pricing Models 2009Expected Stock Returns and Variance Risk Premia 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns 2000Post-'87 crash fears in the S&P 500 futures option market 2008Variance Risk Premiums

Cited by

2021Hedging macroeconomic and financial uncertainty and volatility 2020The Impact of the COVID-19 Pandemic on the U.S. Economy: Evidence from the Stock Market 2020Closed-form implied volatility surfaces for stochastic volatility models with jumps 2021Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components 2016The Cross-Section of Currency Volatility Premia

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2012The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesispreprint · 52 shared references 2013Quadratic Variance Swap Modelsarticle · 26 shared references 2017Resolution of policy uncertainty and sudden declines in volatilityarticle · 23 shared references 2018Inferring volatility dynamics and risk premia from the S&P 500 and VIX marketsarticle · 22 shared references 2009Stochastic Volatilityother · 21 shared references 2018The VIX Premiumarticle · 18 shared references

Details

Year2020

Typearticle

Published2020-03-27

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations95

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2020.03.002

openalex_workW3013546124

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