Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

DOI10.1137/15M1011822zbMath1395.91510OpenAlexW3125718278MaRDI QIDQ2813080

A. Granelli, Almut E. D. Veraart

Publication date: 15 June 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1011822

zbMATH Keywords

Lévy processesstochastic volatilitychange of measureleverage effectquadratic variationcontagionself-excitementHawkes processvariance risk premium

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Geometric ergodicity of the multivariate COGARCH(1,1) process ⋮ Geometric ergodicity of affine processes on cones ⋮ A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process

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