Asymmetric Volatility Risk : Evidence from Option Markets

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Prüfsumme: MD5:e5e09af2521f3c9d28dfac0439368c43

JACKWERTH, Jens, Gregory VILKOV, 2015. Asymmetric Volatility Risk : Evidence from Option Markets

@techreport{Jackwerth2015Asymm-26830, title={Asymmetric Volatility Risk : Evidence from Option Markets}, year={2015}, author={Jackwerth, Jens and Vilkov, Gregory} }

Vilkov, Gregory Jackwerth, Jens Asymmetric Volatility Risk : Evidence from Option Markets eng Vilkov, Gregory 2016-12-13T13:02:08Z 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. deposit-license 2016-12-13T13:02:08Z 2015 Jackwerth, Jens

Dateiabrufe seit 13.12.2016 (Informationen über die Zugriffsstatistik)

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