Bond Variance Risk Premiums
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Antonio Mele & Yoshiki Obayashi, 2013. "Volatility Indexes and Contracts for Government Bonds and Time Deposits," Swiss Finance Institute Research Paper Series 13-26, Swiss Finance Institute.
- Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017.
"The price of variance risk,"
Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
- Ian Dew-Becker & Stefano Giglio & Anh Le & Marius Rodriguez, 2015. "The Price of Variance Risk," NBER Working Papers 21182, National Bureau of Economic Research, Inc.
- Santa-Clara, Pedro & Saretto, Alessio, 2009.
"Option strategies: Good deals and margin calls,"
Journal of Financial Markets, Elsevier, vol. 12(3), pages 391-417, August.
- Santa-Clara, Pedro & Saretto, Alessio, 2004. "Option Strategies: Good Deals and Margin Calls," University of California at Los Angeles, Anderson Graduate School of Management qt0499w44p, Anderson Graduate School of Management, UCLA.
- Ian Martin, 2011. "Simple Variance Swaps," NBER Working Papers 16884, National Bureau of Economic Research, Inc.
- Bjorn Flesaker, 1993. "Arbitrage free pricing of interest rate futures and forward contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(1), pages 77-91, February.
- Nusret Cakici & Jintao Zhu, 2001. "Pricing Eurodollar Futures Options with the Heath—Jarrow—Morton Model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(7), pages 655-680, July.
- Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
- Mark Broadie & Ashish Jain, 2008. "The Effect Of Jumps And Discrete Sampling On Volatility And Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 761-797.
- Aytek Malkhozov & Philippe Mueller & Andrea Vedolin & Gyuri Venter, 2017. "International Illiquidity," International Finance Discussion Papers 1201, Board of Governors of the Federal Reserve System (U.S.).
- Duyvesteyn, Johan & de Zwart, Gerben, 2015. "Riding the swaption curve," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 57-75.
- Schneider, Paul, 2015.
"Generalized risk premia,"
Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
- Paul SCHNEIDER, 2014. "Generalized Risk Premia," Swiss Finance Institute Research Paper Series 14-29, Swiss Finance Institute.
- Nicolas Merener, 2012.
"Swap rate variance swaps,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 249-261, May.
- Nicolas Merener, 2009. "Swap Rate Variance Swaps," Business School Working Papers 2009-02, Universidad Torcuato Di Tella.
- Peter Carr & Roger Lee, 2009. "Volatility Derivatives," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 319-339, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bauer, Michael & Chernov, Mikhail, 2021.
"Interest rate skewness and biased beliefs,"
IMFS Working Paper Series
163, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Chernov, Mikhail & Bauer, Michael, 2021. "Interest Rate Skewness and Biased Beliefs," CEPR Discussion Papers 16274, C.E.P.R. Discussion Papers.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," CESifo Working Paper Series 9150, CESifo.
- Michael D. Bauer & Mikhail Chernov, 2021. "Interest Rate Skewness and Biased Beliefs," NBER Working Papers 28954, National Bureau of Economic Research, Inc.
- Ruan, Xinfeng & Zhang, Jin E., 2021. "The economics of the financial market for volatility trading," Journal of Financial Markets, Elsevier, vol. 52(C).
- Gómez-Cram, Roberto & Grotteria, Marco, 2022. "Real-time price discovery via verbal communication: Method and application to Fedspeak," Journal of Financial Economics, Elsevier, vol. 143(3), pages 993-1025.
- Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022.
"Market-Based Monetary Policy Uncertainty,"
The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
- Michael D. Bauer & Aeimit Lakdawala & Philippe Mueller, 2019. "Market-based monetary policy uncertainty," CESifo Working Paper Series 7621, CESifo.
- Lakdawala, Aeimit & Bauer, Michael & Mueller, Philippe, 2019. "Market-Based Monetary Policy Uncertainty," Working Papers 2019-2, Michigan State University, Department of Economics.
- Michael D. Bauer & Aeimit K. Lakdawala & Philippe Mueller, 2021. "Market-Based Monetary Policy Uncertainty," Working Paper Series 2019-12, Federal Reserve Bank of San Francisco.
- Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
- Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari, 2022. "Forecasting variance swap payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2135-2164, December.
- Yin, Libo & Feng, Jiabao & Liu, Li & Wang, Yudong, 2019. "It's not that important: The negligible effect of oil market uncertainty," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 62-84.
- Balcilar, Mehmet & Gupta, Rangan & Wang, Shixuan & Wohar, Mark E., 2020.
"Oil price uncertainty and movements in the US government bond risk premia,"
The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Mehmet Balcilar & Rangan Gupta & Shixuan Wang & Mark E. Wohar, 2019. "Oil Price Uncertainty and Movements in the US Government Bond Risk Premia," Working Papers 201919, University of Pretoria, Department of Economics.
- Adriano S. Koshiyama & Nikan Firoozye & Philip Treleaven, 2019. "A derivatives trading recommendation system: The mid‐curve calendar spread case," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 26(2), pages 83-103, April.
- Indriawan, Ivan & Jiao, Feng & Tse, Yiuman, 2021. "The FOMC announcement returns on long-term US and German bond futures," Journal of Banking & Finance, Elsevier, vol. 123(C).
- Dew-Becker, Ian & Giglio, Stefano & Kelly, Bryan, 2021.
"Hedging macroeconomic and financial uncertainty and volatility,"
Journal of Financial Economics, Elsevier, vol. 142(1), pages 23-45.
- Ian Dew-Becker & Stefano Giglio & Bryan T. Kelly, 2019. "Hedging Macroeconomic and Financial Uncertainty and Volatility," NBER Working Papers 26323, National Bureau of Economic Research, Inc.
- Giglio, Stefano & Dew-Becker, Ian & Kelly, Bryan, 2020. "Hedging macroeconomic and financial uncertainty and volatility," CEPR Discussion Papers 15239, C.E.P.R. Discussion Papers.
- Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023.
"Commodity futures return predictability and intertemporal asset pricing,"
Journal of Commodity Markets, Elsevier, vol. 31(C).
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2020. "Commodity Futures Return Predictability and Intertemporal Asset Pricing," Working Papers 202011, Geary Institute, University College Dublin.
- John Cotter & Emmanuel Eyiah-Donkor & Valerio Potì, 2023. "Commodity futures return predictability and intertemporal asset pricing," Post-Print hal-04192933, HAL.
- J. C. Arismendi-Zambrano & T. Ramos-Almeida & J. C. Reboredo & M. A. Rivera-Castro, 2020. "Identifying Statistical Arbitrage in Interest Rate Markets: A Genetic Algorithm Approach," Economics Department Working Paper Series n305-20.pdf, Department of Economics, National University of Ireland - Maynooth.
- Mauro Costantini & Ricardo M. Sousa, 2020. "Consumption, asset wealth, equity premium, term spread, and flight to quality," European Financial Management, European Financial Management Association, vol. 26(3), pages 778-807, June.
- Adriano Soares Koshiyama & Nick Firoozye & Philip Treleaven, 2018. "A Machine Learning-based Recommendation System for Swaptions Strategies," Papers 1810.02125, arXiv.org.
- Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
- Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
- Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
- Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
- Li, Shaoyu & Zhang, Yuanyuan & Zhu, Chunhui, 2021. "A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Greenwood-Nimmo, Matthew & Huang, Jingong & Nguyen, Viet Hoang, 2019. "Financial sector bailouts, sovereign bailouts, and the transfer of credit risk," Journal of Financial Markets, Elsevier, vol. 42(C), pages 121-142.
- Yue, Tian & Ruan, Xinfeng & Gehricke, Sebastian & Zhang, Jin E., 2023. "The volatility index and volatility risk premium in China," The Quarterly Review of Economics and Finance, Elsevier, vol. 91(C), pages 40-55.
- Kita, Arben & Tortorice, Daniel L., 2021. "Same firm, two volatilities: How variance risk is priced in credit and equity markets," Journal of Corporate Finance, Elsevier, vol. 69(C).
- Huang, Dashan & Li, Jiangyuan & Wang, Liyao, 2021. "Are disagreements agreeable? Evidence from information aggregation," Journal of Financial Economics, Elsevier, vol. 141(1), pages 83-101.
- Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Peter Van Tassel & Erik Vogt, 2016.
"Global variance term premia and intermediary risk appetite,"
Staff Reports
789, Federal Reserve Bank of New York.
- Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
- Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.
- Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.
- M.E. Mancino & S. Scotti & G. Toscano, 2020.
"Is the Variance Swap Rate Affine in the Spot Variance? Evidence from S&P500 Data,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 27(4), pages 288-316, July.
- Maria Elvira Mancino & Simone Scotti & Giacomo Toscano, 2020. "Is the variance swap rate affine in the spot variance? Evidence from S&P500 data," Papers 2004.04015, arXiv.org.
- Carol Alexander & Johannes Rauch, 2014. "Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia," Papers 1404.1351, arXiv.org, revised Feb 2016.
- Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
- Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019.
"Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets,"
Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
- Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.
- López, Raquel & Esparcia, Carlos, 2021. "Analysis of the performance of volatility-based trading strategies on scheduled news announcement days: An international equity market perspective," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 32-54.
- Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
- Yang, Ben-Zhang & Yue, Jia & Wang, Ming-Hui & Huang, Nan-Jing, 2019. "Volatility swaps valuation under stochastic volatility with jumps and stochastic intensity," Applied Mathematics and Computation, Elsevier, vol. 355(C), pages 73-84.
- Xinglin Yang & Ji Chen, 2021. "VIX term structure: The role of jump propagation risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 785-810, June.
- Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
- Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
- Seungmook Choi & Hongtao Yang, 2019. "Model-Free Implied Volatility under Jump-Diffusion Models," Review of Economics & Finance, Better Advances Press, Canada, vol. 16, pages 1-14, May.
- Robert Jarrow & Younes Kchia & Martin Larsson & Philip Protter, 2013. "Discretely sampled variance and volatility swaps versus their continuous approximations," Finance and Stochastics, Springer, vol. 17(2), pages 305-324, April.
- Ah-Reum Han & Jeong-Hoon Kim & See-Woo Kim, 2021. "Variance Swaps with Deterministic and Stochastic Correlations," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1059-1092, April.
- Bjørn Eraker & Aoxiang Yang, 2022. "The Price of Higher Order Catastrophe Insurance: The Case of VIX Options," Journal of Finance, American Finance Association, vol. 77(6), pages 3289-3337, December.
- Paul Schneider & Christian Wagner & Josef Zechner, 2020.
"Low‐Risk Anomalies?,"
Journal of Finance, American Finance Association, vol. 75(5), pages 2673-2718, October.
- Schneider, Paul & Wagner, Christian & Zechner, Josef, 2016. "Low risk anomalies?," CFS Working Paper Series 550, Center for Financial Studies (CFS).
- Paul Schneider & Christian Wagner & Josef Zechner, 2019. "Low Risk Anomalies?," Swiss Finance Institute Research Paper Series 19-50, Swiss Finance Institute.
More about this item
Keywords
Variance risk premium; Treasury implied volatility; Treasury variance swap;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:revfin:v:21:y:2017:i:3:p:987-1022.. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/eufaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.