The VIX, the variance premium and stock market volatility
DOI10.1016/J.JECONOM.2014.05.008zbMATH Open1312.91091OpenAlexW3122758356MaRDI QIDQ473230FDOQ473230
Authors: Geert Bekaert, Marie Hoerova 
Publication date: 24 November 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w18995.pdf
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realized volatilityrisk aversionfinancial instabilityVIXstock return predictabilityvariance risk premiumeconomic uncertaintyoption implied volatilityrisk-return trade-off
Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)
Cites Work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Handbook of economic forecasting. Volume 1
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Threshold bipower variation and the impact of jumps on volatility forecasting
- Volatility forecast comparison using imperfect volatility proxies
- Nested forecast model comparisons: a new approach to testing equal accuracy
- The Impact of Uncertainty Shocks
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Wald Tests and Systems of Stochastic Equations
- Autometrics
Cited In (31)
- Jumps beyond the realms of cricket: India's performance in one day internationals and stock market movements
- The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
- Exploiting the errors: a simple approach for improved volatility forecasting
- Out-of-sample stock return prediction using higher-order moments
- Variance-of-variance risk premium
- Persistence of jump-induced tail risk and limits to arbitrage
- What is the expected return on the market?
- Spiking the Volatility Punch
- On the use of high frequency measures of volatility in MIDAS regressions
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
- VIX futures term structure and the expectations hypothesis
- Does VIX truly measure return volatility?
- Implied volatility sentiment: a tale of two tails
- Why is VIX a fear gauge?
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
- Financial modelling, risk management of energy instruments and the role of cryptocurrencies
- On the market price of risk
- Understanding the Risk-Return Relation: The Aggregate Wealth Proxy Actually Matters
- Market risk and Bitcoin returns
- Sparse change-point HAR models for realized variance
- Tail risk and return predictability for the Japanese equity market
- Variance risk: a bird's eye view
- A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
- A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX
- Variance disparity and market frictions
- The term structure of equity and variance risk premia
- S&P 500 volatility, volatility regimes, and economic uncertainty
- The Predictive Power of the French Market Volatility Index: A Multi Horizons Study *
- Resolution of policy uncertainty and sudden declines in volatility
- The variance risk premium and fundamental uncertainty
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