The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets
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- Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2020. "The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 662-678, July.
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More about this item
Keywords
Equity Risk Premium; International Option Markets; Predictability; Tail Risk; Variance Risk Premium;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2019-02-11 (Corporate Finance)
- NEP-RMG-2019-02-11 (Risk Management)
- NEP-UPT-2019-02-11 (Utility Models & Prospect Theory)
Statistics
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