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Citations for "Model Specification and Risk Premia: Evidence from Futures Options"

by Mark Broadie & Mikhail Chernov & Michael Johannes

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  1. Larsson, Karl & Nossman, Marcus, 2011. "Jumps and stochastic volatility in oil prices: Time series evidence," Energy Economics, Elsevier, vol. 33(3), pages 504-514, May.
  2. Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
  3. Shaliastovich, Ivan, 2015. "Learning, confidence, and option prices," Journal of Econometrics, Elsevier, vol. 187(1), pages 18-42.
  4. Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
  5. Yun, Jaeho, 2014. "Out-of-sample density forecasts with affine jump diffusion models," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 74-87.
  6. Santa-Clara, Pedro & Yan, Shu, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management qt5dv8v999, Anderson Graduate School of Management, UCLA.
  7. Van Tassel, Peter & Vogt, Erik, 2016. "Global variance term premia and intermediary risk appetite," Staff Reports 789, Federal Reserve Bank of New York.
  8. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
  9. Dahlquist, Magnus & Farago, Adam & Tédongap, Roméo, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.
  10. Schwarz, Claudia, 2014. "Investor fears and risk premia for rare events," Discussion Papers 03/2014, Deutsche Bundesbank, Research Centre.
  11. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, Department of Economics and Business Economics, Aarhus University.
  12. Branger, Nicole & Schlag, Christian & Schneider, Eva, 2008. "Optimal portfolios when volatility can jump," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1087-1097, June.
  13. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  14. Câmara, António & Krehbiel, Tim & Li, Weiping, 2011. "Expected returns, risk premia, and volatility surfaces implicit in option market prices," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 215-230, January.
  15. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2011. "Conditional jumps in volatility and their economic determinants," "Marco Fanno" Working Papers 0138, Dipartimento di Scienze Economiche "Marco Fanno".
  16. Bakshi, Gurdip & Carr, Peter & Wu, Liuren, 2008. "Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies," Journal of Financial Economics, Elsevier, vol. 87(1), pages 132-156, January.
  17. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
  18. Peter Christoffersen & Mathieu Fournier & Kris Jacobs, 2013. "The Factor Structure in Equity Options," CREATES Research Papers 2013-47, Department of Economics and Business Economics, Aarhus University.
  19. Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M, 2005. "Demand-Based Option Pricing," CEPR Discussion Papers 5420, C.E.P.R. Discussion Papers.
  20. repec:gam:jecnmx:v:4:y:2016:i:1:p:8:d:64253 is not listed on IDEAS
  21. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
  22. Diewald, Laszlo & Prokopczuk, Marcel & Wese Simen, Chardin, 2015. "Time-variations in commodity price jumps," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 72-84.
  23. Chang, Bo Young & Christoffersen, Peter & Jacobs, Kris, 2010. "Market Skewness Risk and the Cross-Section of Stock Returns," Working Papers 11-18, University of Pennsylvania, Wharton School, Weiss Center.
  24. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104.
  25. Geert Bekaert & Eric Engstrom, 2009. "Asset Return Dynamics under Bad Environment Good Environment Fundamentals," NBER Working Papers 15222, National Bureau of Economic Research, Inc.
  26. George M. Constantinides & Lei Lian, 2015. "The Supply and Demand of S&P 500 Put Options," NBER Working Papers 21161, National Bureau of Economic Research, Inc.
  27. Chris Brooks & Marcel Prokopczuk, 2011. "The Dynamics of Commodity Prices," ICMA Centre Discussion Papers in Finance icma-dp2011-09, Henley Business School, Reading University.
  28. Neumann, Maximilian & Prokopczuk, Marcel & Wese Simen, Chardin, 2016. "Jump and variance risk premia in the S&P 500," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 72-83.
  29. Andreas Kaeck & Carol Alexander, 2010. "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance icma-dp2010-11, Henley Business School, Reading University.
  30. Peter Christoffersen & Kris Jacobs & Yintian Wang, 2004. "Option Valuation with Long-run and Short-run Volatility Components," CIRANO Working Papers 2004s-56, CIRANO.
  31. Valentina Corradi & Norman Swanson & Walter Distaso, 2006. "Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures," Departmental Working Papers 200620, Rutgers University, Department of Economics.
  32. Ruslan Bikbov & Mikhail Chernov, 2009. "Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options," Management Science, INFORMS, vol. 55(8), pages 1292-1305, August.
  33. Chevallier, Julien, 2010. "Modelling risk premia in CO2 allowances spot and futures prices," Economic Modelling, Elsevier, vol. 27(3), pages 717-729, May.
  34. Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
  35. Park, Yang-Ho, 2016. "The effects of asymmetric volatility and jumps on the pricing of VIX derivatives," Journal of Econometrics, Elsevier, vol. 192(1), pages 313-328.
  36. Glasserman, Paul & Kim, Kyoung-Kuk, 2009. "Saddlepoint approximations for affine jump-diffusion models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 15-36, January.
  37. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique.
  38. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York.
  39. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  40. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
  41. Audrino, Francesco & Hu, Yujia, 2011. "Volatility Forecasting: Downside Risk, Jumps and Leverage Effect," Economics Working Paper Series 1138, University of St. Gallen, School of Economics and Political Science.
  42. Peter Christoffersen & Steven Heston & Kris Jacobs, 2009. "The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well," CREATES Research Papers 2009-34, Department of Economics and Business Economics, Aarhus University.
  43. Broadie, Mark & Chernov, Mikhail & Johannes, Michael, 2007. "Understanding Index Option Returns," CEPR Discussion Papers 6239, C.E.P.R. Discussion Papers.
  44. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci De Magistris, 2014. "Chasing Volatility. A Persistent Multiplicative Error Model With Jumps," "Marco Fanno" Working Papers 0186, Dipartimento di Scienze Economiche "Marco Fanno".
  45. Byun, Suk Joon & Jeon, Byoung Hyun & Min, Byungsun & Yoon, Sun-Joong, 2015. "The role of the variance premium in Jump-GARCH option pricing models," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 38-56.
  46. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc.
  47. Yun, Jaeho, 2011. "The role of time-varying jump risk premia in pricing stock index options," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 833-846.
  48. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
  49. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
  50. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
  51. Duan, Jin-Chuan & Yeh, Chung-Ying, 2010. "Jump and volatility risk premiums implied by VIX," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2232-2244, November.
  52. Gang Li & Chu Zhang, 2010. "On the Number of State Variables in Options Pricing," Management Science, INFORMS, vol. 56(11), pages 2058-2075, November.
  53. Bandi, F.M. & Renò, R., 2016. "Price and volatility co-jumps," Journal of Financial Economics, Elsevier, vol. 119(1), pages 107-146.
  54. Kaeck, Andreas & Alexander, Carol, 2013. "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 46-56.
  55. Li, Gang & Zhang, Chu, 2013. "Diagnosing affine models of options pricing: Evidence from VIX," Journal of Financial Economics, Elsevier, vol. 107(1), pages 199-219.
  56. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
  57. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
  58. Li, Junye, 2012. "Option-implied volatility factors and the cross-section of market risk premia," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 249-260.
  59. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
  60. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2010. "Option Valuation with Conditional Heteroskedasticity and Nonnormality," Review of Financial Studies, Society for Financial Studies, vol. 23(5), pages 2139-2183.
  61. Geon Choe & Kyungsub Lee, 2014. "Conditional correlation in asset return and GARCH intensity model," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 98(3), pages 197-224, July.
  62. Junye Lia & Carlo Favero & Fulvio Ortu, 2010. "A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing," Working Papers 370, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  63. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters Implied by Equity Index Options," Working Papers 09-14, New York University, Leonard N. Stern School of Business, Department of Economics.
  64. Song, Zhaogang & Xiu, Dacheng, 2014. "A Tale of Two Option Markets: Pricing Kernels and Volatility Risk," Finance and Economics Discussion Series 2014-58, Board of Governors of the Federal Reserve System (U.S.).
  65. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
  66. Kaeck, Andreas & Alexander, Carol, 2012. "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3110-3121.
  67. Ravi Bansal & Ivan Shaliastovich, 2009. "Learning and Asset-Price Jumps," NBER Working Papers 14814, National Bureau of Economic Research, Inc.
  68. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2016. "Volatility Contagion across the Equity Markets of Developed and Emerging Market Economies," ADBI Working Papers 590, Asian Development Bank Institute.
  69. KALNINA, Ilze & XIU, Dacheng, 2015. "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche 2015-05, Universite de Montreal, Departement de sciences economiques.
  70. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
  71. Guang-Hua Lian & Song-Ping Zhu, 2013. "Pricing VIX options with stochastic volatility and random jumps," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 71-88, May.
  72. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
  73. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
  74. Foschi, Paolo & Pascucci, Andrea, 2009. "Calibration of a path-dependent volatility model: Empirical tests," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2219-2235, April.
  75. Andrea Pascucci & Paolo Foschi, 2005. "Calibration of the Hobson&Rogers model: empirical tests," Finance 0509020, EconWPA.
  76. Ivan Shaliastovich & George Tauchen, 2009. "Pricing of the Time-Change Risks," Working Papers 10-71, Duke University, Department of Economics.
  77. Aramonte, Sirio, 2014. "Macroeconomic uncertainty and the cross-section of option returns," Journal of Financial Markets, Elsevier, vol. 21(C), pages 25-49.
  78. Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
  79. Lin, Yueh-Neng & Lin, Anchor Y., 2016. "Using VIX futures to hedge forward implied volatility risk," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 88-106.
  80. Hurn, A.S. & Lindsay, K.A. & McClelland, A.J., 2013. "A quasi-maximum likelihood method for estimating the parameters of multivariate diffusions," Journal of Econometrics, Elsevier, vol. 172(1), pages 106-126.
  81. Amir Alizadeh & Konstantina Kappou & Dimitris Tsouknidis & Ilias Visvikis, 2014. "Liquidity Risk Premia in the International Shipping Derivatives Market," ICMA Centre Discussion Papers in Finance icma-dp2014-15, Henley Business School, Reading University.
  82. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
  83. Jason Ng & Catherine S. Forbes & Gael M. Martin & Brendan P.M. McCabe, 2011. "Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models," Monash Econometrics and Business Statistics Working Papers 11/11, Monash University, Department of Econometrics and Business Statistics.
  84. Driessen, Joost & Maenhout, Pascal, 2013. "The world price of jump and volatility risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 518-536.
  85. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Volatility jumps and their economic determinants," CREATES Research Papers 2014-27, Department of Economics and Business Economics, Aarhus University.
  86. Bondarenko, Oleg, 2014. "Variance trading and market price of variance risk," Journal of Econometrics, Elsevier, vol. 180(1), pages 81-97.
  87. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.
  88. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016. "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series 367, Quantitative Finance Research Centre, University of Technology, Sydney.
  89. Kaeck, Andreas, 2013. "Asymmetry in the jump-size distribution of the S&P 500: Evidence from equity and option markets," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1872-1888.
  90. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2010. "Explaining asset pricing puzzles associated with the 1987 market crash," Working Paper Series WP-2010-10, Federal Reserve Bank of Chicago.
  91. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
  92. Ornthanalai, Chayawat, 2014. "Lévy jump risk: Evidence from options and returns," Journal of Financial Economics, Elsevier, vol. 112(1), pages 69-90.
  93. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  94. Branger, Nicole & Hansis, Alexandra, 2015. "Earning the right premium on the right factor in portfolio planning," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 367-383.
  95. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
  96. repec:wyi:journl:002192 is not listed on IDEAS
  97. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
  98. Calvet , Laurent E. & Fearnley, Marcus & Adlai J. , Fisher & Markus, Leippold, 2013. "What's Beneath the Surface? Option Pricing with Multifrequency Latent States," Les Cahiers de Recherche 969, HEC Paris.
  99. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
  100. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009. "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 94-112, August.
  101. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
  102. Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
  103. Thomas Coleman & Yuying Li & Cheng Wang, 2013. "Stable local volatility function calibration using spline kernel," Computational Optimization and Applications, Springer, vol. 55(3), pages 675-702, July.
  104. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
  105. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
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