The jump-risk premia implicit in options: evidence from an integrated time-series studyOption pricingStochastic volatilityJump-risk premiumImplied-state generalized method of momentsVolatility “smiles” and “smirksThis paper examines the joint time series of the S&P 500 index and near-the-money ...
The risk premia embedded in index options J. Financ. Econ. (2015) G. Bakshi et al. Spanning and derivative-security valuation J. Financ. Econ. (2000) F.M. Bandi et al. Time-varying leverage effects J. Econom. (2012) F.M. Bandi et al. Price and volatility co-jumps J. Financ. Ec...
In this paper we propose a panel data approach to modeling the risk premium in the term structure of interest rates. Specifically, we develop a fixed maturity/random time effects model, which implies a time-invariant one-factor model. Our approach allows us to disentangle risk premia and unexpe...
Financial market commentary often focuses on the identification and analysis of shifts in risk premia embedded in asset prices. Risk premia relate to the compensation that investors expect to receive for bearing risks. The analysis, however, is complicated by the fact that neither the premia nor th...
This paper develops a method to derive optimal portfolios and risk premia explicitly in a general diffusion model for an investor with power utility and a long horizon. The market has several risky assets and is potentially incomplete. Investment opportunities are driven by, and partially correlated...
来自 ideas.repec.org 喜欢 0 阅读量: 51 作者: JD Amato 摘要: Credit default swap (CDS) spreads compensate investors for expected loss, but they also contain risk premia because of investors' aversion to default risk. We e 被引量: 167 年份: 2005 ...
Inference on risk premia in the presence of omitted factors. Technical report, National Bureau of Economic Research.Giglio, S, and Xiu, D (2017): "Inference on Risk Premia in the Presence of Omitted Factors", Working Paper, Chicago Booth....
Inference on risk premia in the presence of omitted factors. Technical report, National Bureau of Economic Research.Giglio, S, and Xiu, D (2017): "Inference on Risk Premia in the Presence of Omitted Factors", Working Paper, Chicago Booth....
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The federal funds rate sets the floor for all otherinterest rateson government and private debt. Changes in the federal funds rate influence other interest rates throughcredit spreadsanddurationrisk premia, but the effects aren’t always predictable or orderly. ...