A non-linear dynamic model of the variance risk premium

DOI10.1016/J.JECONOM.2015.02.038zbMath1337.91142OpenAlexW3125358394MaRDI QIDQ2347731

Jiakou Wang, Bjørn Eraker

Publication date: 8 June 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.038

zbMATH Keywords

MLEGMMVIX futuresVIXnonlinear asset pricingsemi-nonparametric diffusion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Diffusion copulas: identification and estimation ⋮ A multifactor transformed diffusion model with applications to VIX and VIX futures ⋮ Econometric analysis of financial derivatives: an overview

Cites Work

• Unnamed Item
• Unnamed Item
• Hermite polynomial based expansion of European option prices
• Time-varying leverage effects
• Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
• Volatility in Equilibrium: Asymmetries and Dynamic Dependencies*
• VARIANCE TERM STRUCTURE AND VIX FUTURES PRICING
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

This page was built for publication: A non-linear dynamic model of the variance risk premium