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Working paper
Pricing Options with Volatility of Volatility: A Simple Formula
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TIME VARIATIONS IN RISK PREMIA, VOLATILITY, AND REWARD‐TO‐VOLATILITY
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 21, Heft 4, S. 431-446
ISSN: 1475-6803
AbstractIn this paper I relate the risk premia in the stock and bond markets to the conditional volatility of returns and time‐varying reward‐to‐volatility variables. I find that the relation between the expected returns on the stocks and bonds and the volatility of returns is time varying. I provide an approach for evaluating the relative importance of the time‐varying volatility of returns and reward‐to‐volatility variables to explain the predictability of risk premia for stock and bond returns. I show that changing reward‐to‐volatility variables explain more predictable variation in the risk premia for stocks and bonds than changing volatility of returns.
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Implied Volatility in Stochastic Volatility Models With Jump to Default
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Does the Volatility-Hedging Portfolio Underreact to Volatility Innovations?
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Can idiosyncratic volatility help forecast stock market volatility?
In: International journal of forecasting, Band 24, Heft 3, S. 462-479
ISSN: 0169-2070
S&P 500 volatility, volatility regimes, and economic uncertainty
In: Bulletin of economic research, Band 75, Heft 4, S. 1362-1387
ISSN: 1467-8586
AbstractWe assess the relationship between regime‐dependent volatility in S&P 500, economic policy uncertainty, the S&P 500 bull and bear sentiment spread (bb_sp), as well as the Chicago Board Options Exchange's VIX over the period 2000–2018. Our findings from two‐covariate GARCH–MIDAS (GM) methodology, regime switching Markov Chain, and quantile regressions suggest that the association of realized volatility and sentiment varies across high‐ and low‐volatility regimes and depends on investors' sensitivity toward incidents of market uncertainties under these regimes. The findings suggest that these indicators may not be useful in volatility forecasting, especially under high‐volatility regimes.
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Volatility Spillovers Across CBDC Attention and Stock Market Volatility
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