Does knowing the volatility states affect the market risk premium?

DOI10.1007/S10436-010-0158-2zbMATH Open1262.91152OpenAlexW2043244304MaRDI QIDQ691613FDOQ691613

Authors: Jinho Bae 

Publication date: 3 December 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0158-2

Recommendations

• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• MODELING THE RISK AND RETURN RELATION CONDITIONAL ON MARKET VOLATILITY AND MARKET CONDITIONS
• Inferring the Forward Looking Equity Risk Premium from Derivative Prices
• Determinants of stock market volatility and risk premia
• Markov switching model analysis of implied volatility for market indexes with applications to S\&P 500 and DAX

zbMATH Keywords

risk premiumendogenous Markov-switchinginvestors' information setvolatility states

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

• Estimation of Markov regime-switching regression models with endogenous switching
• A Markov model for switching regressions
• An Intertemporal Capital Asset Pricing Model
• Specification testing in Markov-switching time-series models

This page was built for publication: Does knowing the volatility states affect the market risk premium?

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q691613)