Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors

2020 ◽  
Author(s):  
Elena Andreou ◽  
Eric Ghysels
Keyword(s):  
Risk Premium ◽  
Volatility Risk ◽  
Volatility Risk Premium ◽  
Short Run

The influence of tracking error on volatility risk premium estimation

2007 ◽  
Vol 9 (3) ◽  
pp. 1-36 ◽  
Author(s):  
James Doran
Keyword(s):  
Risk Premium ◽  
Tracking Error ◽  
Volatility Risk ◽  
Volatility Risk Premium

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

2001 ◽  
Author(s):  
Gurdip S. Bakshi ◽  
Nikunj Kapadia
Keyword(s):  
Risk Premium ◽  
Market Volatility ◽  
Volatility Risk ◽  
Volatility Risk Premium

Determinants of the Index Straddle Returns

2013 ◽  
Vol 21 (4) ◽  
pp. 411-434
Author(s):  
Byung Jin Kang
Keyword(s):  
Risk Premium ◽  
Trading Strategies ◽  
Excess Returns ◽  
Index Options ◽  
Volatility Risk ◽  
Volatility Risk Premium ◽  
Theoretical View

This paper investigates ATM zero-beta straddle (i.e., ZBS) returns, one of the most widely used volatility trading strategies, and then examines the determinants of them. First, from a point of theoretical view, we find that the determinants of the ZBS returns without rebalancing are different from those with rebalancing. This means that most previous studies overlooking the return characteristics by difference of rebalancing frequency could result in misleading implications. Next, from a point of empirical view, we find that the negative excess returns are also obtained by taking a long position in ZBS on the KOSPI 200 index options, as in most other markets. Even though these negative excess returns are not strongly significant, but they are found to be closely related to the volatility risk premium.

scholarly journals The importance of the volatility risk premium for volatility forecasting

2014 ◽  
Vol 40 ◽  
pp. 303-320 ◽  
Author(s):  
Marcel Prokopczuk ◽  
Chardin Wese Simen
Keyword(s):  
Risk Premium ◽  
Volatility Forecasting ◽  
Volatility Risk ◽  
Volatility Risk Premium

scholarly journals The Importance of the Volatility Risk Premium for Volatility Forecasting

2013 ◽  
Author(s):  
Marcel Prokopczuk ◽  
Chardin Wese Simen
Keyword(s):  
Risk Premium ◽  
Volatility Forecasting ◽  
Volatility Risk ◽  
Volatility Risk Premium
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