Excess volatility: beyond discount rates

DOI10.1093/QJE/QJX034MaRDI QIDQ4647451zbMATH OpenOpenAlexFDO

Authors Stefano Giglio, Bryan Kelly

Publication date 15 January 2019

Published in The Quarterly Journal of Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/qje/qjx034

zbMATH Keywords

optionsexcess volatilitydiscount ratesstandard models of prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Do interest rate options contain information about excess returns?
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance
• The persistence in volatility of the US term premium 1970--1986
• Learning and excess volatility
• Excess price volatility and financial innovation

Cited in

(5)

• Excess volatility and stochastic approach of interest rates in stock market
• The risk premium that never was: a fair value explanation of the volatility spread
• Do interest rate options contain information about excess returns?
• Strategic trading with information acquisition and long-memory stochastic liquidity
• A note on Stein's overreaction puzzle

This page was built for publication: Excess volatility: beyond discount rates

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4647451)