The VIX, the variance premium and stock market volatility

DOI10.1016/j.jeconom.2014.05.008zbMath1312.91091OpenAlexW3122758356MaRDI QIDQ473230

Marie Hoerova, Geert Bekaert

Publication date: 24 November 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w18995.pdf

zbMATH Keywords

risk aversionrealized volatilityfinancial instabilityVIXstock return predictabilityvariance risk premiumeconomic uncertaintyoption implied volatilityrisk-return trade-off

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82)

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Uses Software

• PcGets
• PcGive

Cites Work

• Handbook of economic forecasting. Volume 1
• Threshold bipower variation and the impact of jumps on volatility forecasting
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• Volatility forecast comparison using imperfect volatility proxies
• Nested forecast model comparisons: a new approach to testing equal accuracy
• The Impact of Uncertainty Shocks
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Wald Tests and Systems of Stochastic Equations
• Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
• Unnamed Item

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