Publikation:

Asymmetric Volatility Risk : Evidence from Option Markets

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Jackwerth_0-376935.pdf
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Datum

2015

Autor:innen

Vilkov, Gregory

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http://nbn-resolving.de/urn:nbn:de:bsz:352-0-376935
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Zusammenfassung

We show how to extract the expected risk-neutral correlation between risk-neutral distributions of the market index (S&P 500) return and its expected volatility (VIX). Comparing the implied correlation with its realized counterpart reveals a significant index-to-volatility correlation risk premium. It compensates for the fear of enduring negative market returns and measures a new dimension of conditional risk not covered by other variables such as the variance risk premium or skewness. Incorporating information from both equity and volatility markets, it predicts future investment opportunities and (conditional as well as unconditional) risk.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Asymmetric volatility, SPX options, VIX options, implied correlation, leverage effect

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ISO 690JACKWERTH, Jens, Gregory VILKOV, 2015. Asymmetric Volatility Risk : Evidence from Option Markets
BibTex
@techreport{Jackwerth2015Asymm-26830,
  year={2015},
  title={Asymmetric Volatility Risk : Evidence from Option Markets},
  author={Jackwerth, Jens and Vilkov, Gregory}
}
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 2016-12-07 08:00:36
Überarbeitung des Working Papers
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 2014-03-15 16:37:27
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