Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors

DOI10.1016/J.JECONOM.2020.04.006MaRDI QIDQ2224982zbMATH OpenOpenAlexFDO

Authors Elena Andreou, Eric Ghysels

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.2020.04.006

zbMATH Keywords

ARCH filtersfactor asset pricing modelsvolatility factors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(4)

• Bridging factor and sparse models
• A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX
• The risk premium that never was: a fair value explanation of the volatility spread
• The VIX, the variance premium and stock market volatility

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