18 results with keyword: 'corridor implied volatility variance risk premium italian market'
Second, we examine the nature of the variance risk premium and shed light on the information content of different parts of the risk neutral distribution of
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Finally, we estimate the variance risk premium in the crude oil futures market and analyze whether this risk premium is priced, and thus, causes implied volatility to be a
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In each Italian sentence, select the one underlined word or phrase that is incorrect... You scored 0% on
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Thus a simple framework has (ATM) vanilla option implied volatilities trading above prevailing levels of realised volatility due to the volatility risk premium; and then variance
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Reddy, “Free vibration of anti- symmetric, angle-ply laminated plates including transverse shear deformation by the finite element method”, Journal of Sound and
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Keywords : Volatility asymmetry, leverage effect, volatility feedback effect, return risk premium, variance risk premium, multi-horizon causality, causality measure,
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Keywords : Mental Accounting, Analogy Making, Incomplete Markets, Implied Volatility, Implied Volatility Skew, Option Prices, Risk Premium, Black Scholes Model.. JEL Classifications
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Mots-clés : Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, highfrequency
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1.44 Sample statistics for the volatility and skewness risk premium derived from overnight options. The volatility risk premium is dened as the risk-neutral implied standard
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The purposes of this study are to identify the set of entrepreneurial competencies that seems importantamong Malaysian entrepreneurs;to identified the factors that
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Furthermore, the option-implied tail risk measure, the risk neutral variance and the variance risk premium significantly increase the forecasting power of our
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Classification matrix based on linear discriminant analysis of Procrustes coordinates derived from adult male Blueback Herring caught in North Carolina (Chowan and Yeopim rivers)
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Our general thesis is that efficient incremental processing and re-optimization of update streams can be achieved by various incremental view maintenance techniques if we cast
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Keywords : Granger causality measures; nonlinear causality in mean; nonparametric estimation; time series; bootstrap; volatility index; realized volatility; variance risk premium;
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Using more plausible estimates of the variance premium and stock market volatility, we then assess whether they predict stock returns, economic activity, as well as financial
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To shed light on the determinants of the compensation for volatility risk at a daily level we would ideally regress the premium, measured as the di¤erence between the implied
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