Auflistung LIF-SAFE Working Papers nach Schlagwort "variance risk premium"
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Option-Implied Information and Predictability of Extreme Returns
(2013-01-28)We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ... -
Systemic Co-Jumps
(2016-10-10)The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and ...