Related Variance Risk Premia: Term Structure and Stock Return Predictability
Title | Related Variance Risk Premia: Term Structure and Stock Return Predictability PDF eBook |
Author | Ying-Chen Hung |
Publisher | |
Pages | |
Release | 2019 |
Genre | |
ISBN |
Stock Return Predictability and Variance Risk Premia Around the ZLB
Title | Stock Return Predictability and Variance Risk Premia Around the ZLB PDF eBook |
Author | Toshiaki Ogawa |
Publisher | |
Pages | 0 |
Release | 2020 |
Genre | |
ISBN |
Stock Return Predictability and Variance Risk Premia
Title | Stock Return Predictability and Variance Risk Premia PDF eBook |
Author | |
Publisher | |
Pages | 0 |
Release | 2011 |
Genre | |
ISBN |
Stock Return Predictability and Variance Risk Premia
Title | Stock Return Predictability and Variance Risk Premia PDF eBook |
Author | Tim Bollerslev |
Publisher | |
Pages | 48 |
Release | 2011 |
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ISBN |
Expected Stock Returns and Variance Risk Premia
Title | Expected Stock Returns and Variance Risk Premia PDF eBook |
Author | Tim Bollerslev |
Publisher | |
Pages | 58 |
Release | 2007 |
Genre | Stocks |
ISBN |
Variance Risk Premium Components and International Stock Return Predictability
Title | Variance Risk Premium Components and International Stock Return Predictability PDF eBook |
Author | Juan M. Londono |
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Pages | |
Release | 2019 |
Genre | |
ISBN |
The Variance Risk Premium
Title | The Variance Risk Premium PDF eBook |
Author | Junye Li |
Publisher | |
Pages | 39 |
Release | 2016 |
Genre | |
ISBN |
This paper examines the properties of the variance risk premium (VRP). We propose a flexible asset pricing model that captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and variance swap rates at different horizons. The total VRP is negative and has a downward-sloping term structure, while its jump component displays an upward-sloping term structure. The abrupt and persistent response of the short-term jump VRP to extreme events makes this specific premium a proxy for investors' fear of a market crash. Furthermore, the use of the VRP level and slope, and of its components, helps improve the short-run predictability of equity excess returns.