The term structure of equity and variance risk premia

DOI10.1016/J.JECONOM.2020.03.002MaRDI QIDQ2224879zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

equity risk premiumlikelihood approximationstochastic volatilityterm structurevariance risk premiumvariance swap

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(35)

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

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