Publikation:

Asymmetric Volatility Risk : Evidence from Option Markets

Vorschaubild

Dateien

Zu diesem Dokument gibt es keine Dateien.

Datum

2019

Autor:innen

Vilkov, Grigory

Herausgeber:innen

Kontakt

ISSN der Zeitschrift

Electronic ISSN

ISBN

Bibliografische Daten

Verlag

Schriftenreihe

Auflagebezeichnung

URI (zitierfähiger Link)
DOI (zitierfähiger Link)
https://doi.org/10.1093/rof/rfy025
ArXiv-ID

Internationale Patentnummer

Angaben zur Forschungsförderung

Projekt

Open Access-Veröffentlichung

Sammlungen

Wirtschaftswissenschaften: Publikationen
Core Facility der Universität Konstanz

Gesperrt bis

Titel in einer weiteren Sprache

Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published

Erschienen in

Review of Finance. 2019, 23(4), pp. 777-799. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfy025

Zusammenfassung

Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices about the marginal risk-neutral distributions (RNDs) of S&P 500 returns and of relative changes in future expected volatility (VIX). While the bivariate RND cannot be inferred from the marginals, we propose a novel identification based on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation (AVIC) and find it to be significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium and use AVIC to predict returns, volatility, and risk-neutral quantities.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

Asymmetric volatility, VIX options, Volatility trading, Leverage effect, Risk-neutral distribution

Konferenz

Rezension
undefined / . - undefined, undefined

Forschungsvorhaben

Organisationseinheiten

Zeitschriftenheft

Zugehörige Datensätze in KOPS

Zitieren

ISO 690JACKWERTH, Jens, Grigory VILKOV, 2019. Asymmetric Volatility Risk : Evidence from Option Markets. In: Review of Finance. 2019, 23(4), pp. 777-799. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfy025
BibTex
@article{Jackwerth2019-07-01Asymm-47892,
  year={2019},
  doi={10.1093/rof/rfy025},
  title={Asymmetric Volatility Risk : Evidence from Option Markets},
  number={4},
  volume={23},
  issn={1382-6662},
  journal={Review of Finance},
  pages={777--799},
  author={Jackwerth, Jens and Vilkov, Grigory}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/47892">
    <dc:creator>Vilkov, Grigory</dc:creator>
    <dc:creator>Jackwerth, Jens</dc:creator>
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:contributor>Jackwerth, Jens</dc:contributor>
    <dcterms:issued>2019-07-01</dcterms:issued>
    <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/47892"/>
    <dcterms:abstract xml:lang="eng">Asymmetric volatility concerns the relation of returns to future expected volatility. Much is known from option prices about the marginal risk-neutral distributions (RNDs) of S&amp;P 500 returns and of relative changes in future expected volatility (VIX). While the bivariate RND cannot be inferred from the marginals, we propose a novel identification based on long-dated index options. We estimate the risk-neutral asymmetric volatility implied correlation (AVIC) and find it to be significantly lower than its realized counterpart. We interpret the economics of the asymmetric volatility correlation risk premium and use AVIC to predict returns, volatility, and risk-neutral quantities.</dcterms:abstract>
    <dcterms:title>Asymmetric Volatility Risk : Evidence from Option Markets</dcterms:title>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-12-09T09:40:01Z</dcterms:available>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2019-12-09T09:40:01Z</dc:date>
    <dc:contributor>Vilkov, Grigory</dc:contributor>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dc:language>eng</dc:language>
  </rdf:Description>
</rdf:RDF>

Interner Vermerk

xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter

Kontakt
URL der Originalveröffentl.

Prüfdatum der URL

Prüfungsdatum der Dissertation

Finanzierungsart

Kommentar zur Publikation

Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Ja
Diese Publikation teilen