Aufgrund von Vorbereitungen auf eine neue Version von KOPS, können am Montag, 6.2. und Dienstag, 7.2. keine Publikationen eingereicht werden. (Due to preparations for a new version of KOPS, no publications can be submitted on Monday, Feb. 6 and Tuesday, Feb. 7.)
Type of Publication: | Journal article |
Publication status: | Published |
Author: | Jackwerth, Jens Carsten; Vilkov, Grigory |
Year of publication: | 2019 |
Published in: | Review of Finance ; 23 (2019), 4. - pp. 777-799. - ISSN 1382-6662. - eISSN 1573-692X |
DOI (citable link): | https://dx.doi.org/10.1093/rof/rfy025 |
Summary: |
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.
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Subject (DDC): | 330 Economics |
Keywords: | Asymmetric volatility, VIX options, Volatility trading, Leverage effect, Risk-neutral distribution |
Bibliography of Konstanz: | Yes |
Refereed: | Yes |
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JACKWERTH, Jens Carsten, Grigory VILKOV, 2019. Asymmetric Volatility Risk : Evidence from Option Markets. In: Review of Finance. 23(4), pp. 777-799. ISSN 1382-6662. eISSN 1573-692X. Available under: doi: 10.1093/rof/rfy025
@article{Jackwerth2019-07-01Asymm-47892, title={Asymmetric Volatility Risk : Evidence from Option Markets}, year={2019}, doi={10.1093/rof/rfy025}, number={4}, volume={23}, issn={1382-6662}, journal={Review of Finance}, pages={777--799}, author={Jackwerth, Jens Carsten and Vilkov, Grigory} }