Recent Developments in Financial Risk and the Real Economy
In this article, we review recent developments in macroeconomics and finance on the
relationship between financial risk and the real economy. We focus on three specific …
relationship between financial risk and the real economy. We focus on three specific …
The price of variance risk
Between 1996 and 2014, it was costless on average to hedge news about future variance at
horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance …
horizons ranging from 1 quarter to 14 years. Only unexpected, transitory realized variance …
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX
index returns and option prices and analyze the contribution of VIX options to the model's in …
index returns and option prices and analyze the contribution of VIX options to the model's in …
Forecasting performance of global economic policy uncertainty for volatility of Chinese stock market
H Yu, L Fang, W Sun - Physica A: Statistical Mechanics and its applications, 2018 - Elsevier
This paper investigates the impact of global economic policy uncertainty (GEPU) on the
volatility of the Chinese stock market and whether GEPU has predictive power for the …
volatility of the Chinese stock market and whether GEPU has predictive power for the …
Resolution of policy uncertainty and sudden declines in volatility
We introduce downward volatility jumps into a general non-affine modeling framework of the
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …
term structure of variance. With variance swaps and S&P 500 returns, we find that downward …
A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
After the recent financial crisis, the market for volatility derivatives has expanded rapidly to
meet the demand from investors, risk managers and speculators seeking diversification of …
meet the demand from investors, risk managers and speculators seeking diversification of …
Risk premia and the vix term structure
TL Johnson - Journal of Financial and Quantitative Analysis, 2017 - cambridge.org
The shape of the Chicago Board Options Exchange Volatility Index (VIX) term structure
conveys information about the price of variance risk rather than expected changes in the …
conveys information about the price of variance risk rather than expected changes in the …
Polynomial diffusions and applications in finance
D Filipović, M Larsson - Finance and Stochastics, 2016 - Springer
This paper provides the mathematical foundation for polynomial diffusions. They play an
important role in a growing range of applications in finance, including financial market …
important role in a growing range of applications in finance, including financial market …
Bond variance risk premiums
This paper studies variance risk premiums in the Treasury market. We first develop a theory
to price variance swaps and show that the realized variance can be perfectly replicated by a …
to price variance swaps and show that the realized variance can be perfectly replicated by a …
The term structure of variance swaps and risk premia
We study the term structure of variance swaps, equity and variance risk premia. A model-free
analysis reveals a significant price jump component in variance swap rates. A model-based …
analysis reveals a significant price jump component in variance swap rates. A model-based …