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18 results with keyword: 'corridor implied volatility variance risk premium italian market'

Corridor implied volatility and the variance risk premium in the 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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2021
Asyl Bakanova. The futures price volatility in the crude oil market

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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2021
Italian Proficiency Test

In each Italian sentence, select the one underlined word or phrase that is incorrect... You scored 0% on

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2021
INVESTMENT STRATEGIES: NO. 28

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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2021
Large amplitude vibration prediction of rectangular plates by an optimal artificial neural network (ANN)

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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2020
Measuring causality between volatility and returns with high-frequency data

Keywords : Volatility asymmetry, leverage effect, volatility feedback effect, return risk premium, variance risk premium, multi-horizon causality, causality measure,

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2021
Mental Accounting: A Closed Form Alternative to the Black Scholes Model

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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2020
Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Mots-clés : Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, highfrequency

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2021
Essays in International Finance and the Global Financial Crisis

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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2021
The Relationship of Entrepreneurial Competencies and Business Success of Malaysian SMEs: The Mediating Role of Innovation and Brand Equity

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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2022
Assessing the vulnerability to price spikes in agricultural commodity markets

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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2021
Population Structure Of River Herring In Albemarle Sound, North Carolina, Inferred From Geometric Morphometrics And Otolith Shape Analysis

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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2021
Incremental Processing and Optimization of Update Streams

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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2020
Measuring nonlinear Granger causality in mean.

Keywords : Granger causality measures; nonlinear causality in mean; nonparametric estimation; time series; bootstrap; volatility index; realized volatility; variance risk premium;

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2021
The VIX, the Variance Premium and Stock Market Volatility

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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2021
Assessing the compensation for volatility risk implicit in interest rate derivatives

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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2021
This research was supported by the Cooperative Research Centre for Intelligent Decision

Given the performance characteristics of aircraft, desired separation between aircraft, wind eld, runway assignment, and a cost function, the sequencing agent uses a number of

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2021

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