The term structure of equity and variance risk premia

DOI10.1016/j.jeconom.2020.03.002zbMath1464.91072OpenAlexW3013546124MaRDI QIDQ2224879

Yacine Aït-Sahalia, Mustafa Karaman, Loriano Mancini

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.03.002

zbMATH Keywords

stochastic volatilityterm structurevariance risk premiumvariance swaplikelihood approximationequity risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (11)

Dark Matter in (Volatility and) Equity Option Risk Premiums ⋮ Detecting stock market regimes from option prices ⋮ Pricing of variance swap rates and investment decisions of variance swaps: evidence from a three-factor model ⋮ Risk Neutral Jump Arrival Rates Implied in Option Prices and Their Models ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King ⋮ Closed-form variance swap prices under general affine GARCH models and their continuous-time limits ⋮ Variance disparity and market frictions ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ VIX futures term structure and the expectations hypothesis ⋮ Informative option portfolios in filter design for option pricing models

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