Jump and variance risk premia in the S&P 500
نویسندگان
چکیده
منابع مشابه
Bond Variance Risk Premia
Using data from 1983 to 2010, we propose a new fear measure for Treasury markets, akin to the VIX for equities, labeled TIV. We show that TIV explains one third of the time variation in funding liquidity and that the spread between the VIX and TIV captures flight to quality. We then construct Treasury bond variance risk premia as the difference between the implied variance and an expected varia...
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متن کاملJump Risk, Time-Varying Risk Premia, and Technical Trading Profits
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2016
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2016.03.013