Dynamics of variance risk premia: a new model for disentangling the price of risk

DOI10.1016/J.JECONOM.2019.12.006MaRDI QIDQ2190227zbMATH OpenOpenAlexWikidataFDO

Authors Jeroen V. K. Rombouts, Lars Stentoft, Francesco Violante

Publication date 18 June 2020

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.12.006

zbMATH Keywords

variance risk premiumreturn predictabilitysentiment indicators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• A multiple indicators model for volatility using intra-daily data
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Dynamic linear models with Markov-switching
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Forecasting a long memory process subject to structural breaks
• Handbook of Volatility Models and Their Applications
• Marginal likelihood for Markov-switching and change-point GARCH models
• Parametric Inference and Dynamic State Recovery From Option Panels
• The Distribution of Realized Exchange Rate Volatility
• The VIX, the variance premium and stock market volatility
• The long and the short of the risk-return trade-off
• Variance dynamics: joint evidence from options and high-frequency returns

Cited in

(26)

• Jump-diffusion long-run risks models, variance risk premium, and volatility dynamics
• Variance trading and market price of variance risk
• Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
• TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• The term structure of equity and variance risk premia
• A non-linear dynamic model of the variance risk premium
• Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
• Movements in the Equity Premium: Evidence from a Time-Varying VAR
• Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
• Resolution of policy uncertainty and sudden declines in volatility
• Modeling the variance risk premium of equity indices: the role of dependence and contagion
• Editorial: Nonlinear financial econometrics JoE special issue introduction
• Total and partial bivariate risk premia: an extension
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• On bivariate risk premia
• Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
• Modeling Variance Risk Premium
• Variance disparity and market frictions
• The variance risk premium and fundamental uncertainty
• Probabilistic forecasts of volatility and its risk premia
• Tail risk and return predictability for the Japanese equity market
• The risk premium that never was: a fair value explanation of the volatility spread
• The VIX, the variance premium and stock market volatility
• The Variance Risk Premium in Equilibrium Models
• Risk premia in option markets

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