The term structure of equity and variance risk premia

DOI10.1016/J.JECONOM.2020.03.002zbMATH Open1464.91072OpenAlexW3013546124MaRDI QIDQ2224879FDOQ2224879

Authors: Yacine Aït-Sahalia, Mustafa Karaman, Loriano Mancini 

Publication date: 4 February 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.03.002

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zbMATH Keywords

term structurelikelihood approximationstochastic volatilityvariance risk premiumvariance swapequity risk premium

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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Cited In (34)

• Variance swaps with mean reversion and multi-factor variance
• Variance swaps valuation under non-affine GARCH models and their diffusion limits
• Bond variance risk premiums
• TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
• The influence of shock signals on the change in volatility term structure
• Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King
• Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
• Equilibrium variance risk premium in a cost-free production economy
• A novel term-structure-based Heston model for implied volatility surface
• Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out
• VIX futures term structure and the expectations hypothesis
• Stochastic equity volatility and the capital structure of the firm
• Informative option portfolios in filter design for option pricing models
• The impact of fat tails on equilibrium rates of return and term premia
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• The Term Structure of Equity Risk Premia: Levered Noise and New Estimates
• EQUITY-PREMIUM AND RISK-FREE-RATE PUZZLES AT LONG HORIZONS
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Interest rate risk premium and equity valuation
• Detecting stock market regimes from option prices
• Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model
• The term structure of equity yields -- a bottom-up approach
• Risk neutral jump arrival rates implied in option prices and their models
• Corporate Fraction and the Equilibrium Term Structure of Equity Risk *
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Variance disparity and market frictions
• The term structure of equity premia and the macroeconomy: some results
• Movements in the Equity Premium: Evidence from a Time-Varying VAR
• Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
• Dark Matter in (Volatility and) Equity Option Risk Premiums
• Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty
• Modeling the variance risk premium of equity indices: the role of dependence and contagion
• The Variance Risk Premium in Equilibrium Models
• Closed-form implied volatility surfaces for stochastic volatility models with jumps

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