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

DOI10.1016/J.JECONOM.2020.04.006zbMATH Open1464.62414OpenAlexW3022449092MaRDI QIDQ2224982FDOQ2224982

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

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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)

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

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