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The VIX, the Variance Premium and Stock Market Volatility

Citations

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Cited by:

  1. Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018. "“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
  2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  3. Riccardo Colacito & Eric Ghysels & Jinghan Meng & Wasin Siwasarit, 2016. "Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory," Review of Financial Studies, Society for Financial Studies, vol. 29(8), pages 2069-2109.
  4. Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
  5. (Jeremy) Chiu, Ching-wai & Harris, Richard D.F. & Stoja, Evarist & Chin, Michael, 2018. "Financial market Volatility, macroeconomic fundamentals and investor Sentiment," Journal of Banking & Finance, Elsevier, vol. 92(C), pages 130-145.
  6. Caporin, Massimiliano & Kolokolov, Aleksey & Renò, Roberto, 2017. "Systemic co-jumps," Journal of Financial Economics, Elsevier, vol. 126(3), pages 563-591.
    • Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  7. Gospodinov, Nikolay & Jamali, Ibrahim, 2015. "The response of stock market volatility to futures-based measures of monetary policy shocks," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 42-54.
  8. Adrian, Tobias & Liang, J. Nellie, 2014. "Monetary policy, financial conditions, and financial stability," Staff Reports 690, Federal Reserve Bank of New York, revised 01 Dec 2016.
  9. repec:eee:finlet:v:27:y:2018:i:c:p:140-147 is not listed on IDEAS
  10. repec:eee:jbfina:v:96:y:2018:i:c:p:56-72 is not listed on IDEAS
  11. Kruse, Robinson & Leschinski, Christian & Will, Michael, 2016. "Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting," Hannover Economic Papers (HEP) dp-571, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2016. "Exploiting the errors: A simple approach for improved volatility forecasting," Journal of Econometrics, Elsevier, vol. 192(1), pages 1-18.
  13. Vortelinos, Dimitrios I., 2017. "Forecasting realized volatility: HAR against Principal Components Combining, neural networks and GARCH," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 824-839.
  14. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Risk Premium of Gold," Hannover Economic Papers (HEP) dp-616, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  15. repec:eee:quaeco:v:68:y:2018:i:c:p:190-202 is not listed on IDEAS
  16. repec:eee:jimfin:v:92:y:2019:i:c:p:1-24 is not listed on IDEAS
  17. repec:eee:jfinec:v:131:y:2019:i:3:p:593-618 is not listed on IDEAS
  18. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  19. Metiu, Norbert & Hilberg, Björn & Grill, Michael, 2016. "Credit constraints and the international propagation of US financial shocks," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 67-80.
  20. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers 11307, C.E.P.R. Discussion Papers.
  21. repec:eee:jbfina:v:96:y:2018:i:c:p:185-206 is not listed on IDEAS
  22. Geert Bekaert & Eric Engstrom, 2017. "Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 125(3), pages 713-760.
  23. Gkillas, Konstantinos & Gupta, Rangan & Wohar, Mark E., 2018. "Volatility jumps: The role of geopolitical risks," Finance Research Letters, Elsevier, vol. 27(C), pages 247-258.
  24. Aloosh, Arash, 2014. "Global Variance Risk Premium and Forex Return Predictability," MPRA Paper 59931, University Library of Munich, Germany.
  25. repec:eee:jbfina:v:88:y:2018:i:c:p:161-175 is not listed on IDEAS
  26. Cipollini, Andrea & Cascio, Iolanda Lo & Muzzioli, Silvia, 2015. "Volatility co-movements: A time-scale decomposition analysis," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 34-44.
  27. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
  28. Vogt, Erik, 2014. "Option-implied term structures," Staff Reports 706, Federal Reserve Bank of New York, revised 01 Jan 2016.
  29. repec:eee:jbfina:v:81:y:2017:i:c:p:136-149 is not listed on IDEAS
  30. Sushanta K Mallick & Madhusudan Mohanty & Fabrizio Zampolli, 2017. "Market volatility, monetary policy and the term premium," BIS Working Papers 606, Bank for International Settlements.
  31. repec:eee:eneeco:v:66:y:2017:i:c:p:194-204 is not listed on IDEAS
  32. Isabel Casas & Xiuping Mao & Helena Veiga, 2018. "Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium," CREATES Research Papers 2018-10, Department of Economics and Business Economics, Aarhus University.
  33. Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
  34. Brandao-Marques, Luis & Gelos, Gaston & Melgar, Natalia, 2018. "Country transparency and the global transmission of financial shocks," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 56-72.
  35. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2012. "Flights to Safety," Working Paper Research 230, National Bank of Belgium.
  36. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
  37. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2018. "Oil Shocks and Volatility Jumps," Working Papers 201825, University of Pretoria, Department of Economics.
  38. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  39. Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M., 2017. "Forecasting the realized range-based volatility using dynamic model averaging approach," Economic Modelling, Elsevier, vol. 61(C), pages 12-26.
  40. José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
  41. repec:eee:finmar:v:42:y:2019:i:c:p:121-142 is not listed on IDEAS
  42. repec:eee:riibaf:v:46:y:2018:i:c:p:462-470 is not listed on IDEAS
  43. Charles W. Calomiris & Harry Mamaysky, 2018. "How News and Its Context Drive Risk and Returns Around the World," NBER Working Papers 24430, National Bureau of Economic Research, Inc.
  44. Milan Nedeljkovic & Christian Saborowski, 2018. "The Relative Effectiveness of Spot and Derivatives Based Intervention," CESifo Working Paper Series 7127, CESifo Group Munich.
  45. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 15112, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  46. repec:eee:ecmode:v:71:y:2018:i:c:p:68-79 is not listed on IDEAS
  47. repec:eee:eneeco:v:72:y:2018:i:c:p:321-330 is not listed on IDEAS
  48. Conrad, Christian & Loch, Karin, 2015. "The variance risk premium and fundamental uncertainty," Economics Letters, Elsevier, vol. 132(C), pages 56-60.
  49. repec:wsi:qjfxxx:v:07:y:2017:i:01:n:s2010139216500154 is not listed on IDEAS
  50. repec:eee:jfinin:v:37:y:2019:i:c:p:58-74 is not listed on IDEAS
  51. repec:eee:pacfin:v:54:y:2019:i:c:p:132-146 is not listed on IDEAS
  52. Konstantinos Gkillas & Rangan Gupta & Chi Keung Marco Lau & Tahir Suleman, 2018. "Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements," Working Papers 201871, University of Pretoria, Department of Economics.
  53. repec:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500437 is not listed on IDEAS
  54. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  55. repec:eee:riibaf:v:46:y:2018:i:c:p:149-165 is not listed on IDEAS
  56. Elena Andreou, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," University of Cyprus Working Papers in Economics 03-2016, University of Cyprus Department of Economics.
  57. Elena Goldman & Xiangjin Shen, 2018. "Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement," Staff Working Papers 18-21, Bank of Canada.
  58. repec:bla:eufman:v:23:y:2017:i:1:p:153-179 is not listed on IDEAS
  59. Herrera, R. & Clements, A.E., 2018. "Point process models for extreme returns: Harnessing implied volatility," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
  60. 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.
  61. repec:eee:jbrese:v:92:y:2018:i:c:p:260-269 is not listed on IDEAS
  62. Cesa-Bianchi, Ambrogio & Eguren-Martin, Fernando & Thwaites, Gregory, 2017. "Foreign booms, domestic busts: the global dimension of banking crises," Bank of England working papers 644, Bank of England.
  63. repec:eee:econom:v:203:y:2018:i:2:p:297-315 is not listed on IDEAS
  64. Caporale, Guglielmo Maria & Gil-Alana, Luis & Plastun, Alex, 2018. "Is market fear persistent? A long-memory analysis," Finance Research Letters, Elsevier, vol. 27(C), pages 140-147.
  65. González-Urteaga, Ana & Rubio, Gonzalo, 2016. "The cross-sectional variation of volatility risk premia," Journal of Financial Economics, Elsevier, vol. 119(2), pages 353-370.
  66. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  67. repec:eee:jbfina:v:97:y:2018:i:c:p:51-69 is not listed on IDEAS
  68. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
  69. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
  70. Nave, Juan M. & Ruiz, Javier, 2015. "Risk aversion and monetary policy in a global context," Journal of Financial Stability, Elsevier, vol. 20(C), pages 14-35.
  71. repec:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1395-2 is not listed on IDEAS
  72. repec:eee:jfinec:v:132:y:2019:i:1:p:150-174 is not listed on IDEAS
  73. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," Journal of Econometrics, Elsevier, vol. 193(2), pages 367-389.
  74. repec:eee:jimfin:v:94:y:2019:i:c:p:140-159 is not listed on IDEAS
  75. Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York, revised 01 Nov 2017.
  76. Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2018. "Time-Varying Risk Aversion and Realized Gold Volatility," Working Papers 201881, University of Pretoria, Department of Economics.
  77. Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
  78. Hartmann, Philipp & Hubrich, Kirstin & Kremer, Manfred & Tetlow, Robert J., 2013. "Melting down: Systemic financial instability and the macroeconomy," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80487, Verein für Socialpolitik / German Economic Association.
  79. repec:bla:eufman:v:24:y:2018:i:2:p:239-260 is not listed on IDEAS
  80. Eric Tong, 2018. "US Monetary Policy, Global Risk Aversion, and New Zealand Funding Conditions," Treasury Working Paper Series 18/04, New Zealand Treasury.
  81. repec:eee:empfin:v:44:y:2017:i:c:p:270-285 is not listed on IDEAS
  82. Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
  83. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2015. "Financial connectedness among European volatility risk premia," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0058, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
  84. González-Urteaga, Ana & Rubio, Gonzalo, 2017. "The joint cross-sectional variation of equity returns and volatilities," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 17-34.
  85. Manfred Kremer, 2016. "Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area," International Economics and Economic Policy, Springer, vol. 13(1), pages 105-138, January.
  86. Aboura, Sofiane & Wagner, Niklas, 2016. "Extreme asymmetric volatility: Stress and aggregate asset prices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 47-59.
  87. Jeroen V.K. Rombouts & Lars Stentoft & Francesco Violante, 2017. "Dynamics of Variance Risk Premia, Investors' Sentiment and Return Predictability," CREATES Research Papers 2017-10, Department of Economics and Business Economics, Aarhus University.
  88. Vortelinos, Dimitrios I. & Saha, Shrabani, 2016. "The impact of political risk on return, volatility and discontinuity: Evidence from the international stock and foreign exchange markets," Finance Research Letters, Elsevier, vol. 17(C), pages 222-226.
  89. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014. "Volatility risk premia and financial connectedness," Department of Economics 0047, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
  90. repec:bla:eufman:v:25:y:2019:i:2:p:380-406 is not listed on IDEAS
  91. Kaminska, Iryna & Roberts-Sklar, Matt, 2018. "Volatility in equity markets and monetary policy rate uncertainty," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 68-83.
  92. Pietro Cova & Filippo Natoli, 2017. "International financial flows and the risk-taking channel," Temi di discussione (Economic working papers) 1152, Bank of Italy, Economic Research and International Relations Area.
  93. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
  94. Andrea Cipollini & Iolanda Lo Cascio & Silvia Muzzioli, 2014. "Volatility risk premia and financial connectedness," Center for Economic Research (RECent) 109, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  95. Ampudia, Miguel & Ehrmann, Michael, 2017. "Macroeconomic experiences and risk taking of euro area households," European Economic Review, Elsevier, vol. 91(C), pages 146-156.
  96. Leonidas S. Rompolis, 2017. "The effectiveness of unconventional monetary policy on risk aversion and uncertainty," Working Papers 231, Bank of Greece.
  97. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
  98. George O. Aragon & Rajnish Mehra & Sunil Wahal, 2018. "Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets," NBER Working Papers 24575, National Bureau of Economic Research, Inc.
  99. repec:eee:jeborg:v:148:y:2018:i:c:p:189-198 is not listed on IDEAS
  100. van Holle, Frederiek, 2017. "Essays in empirical finance and monetary policy," Other publications TiSEM 30d11a4b-7bc9-4c81-ad24-5, Tilburg University, School of Economics and Management.
  101. repec:eee:eneeco:v:67:y:2017:i:c:p:136-145 is not listed on IDEAS
  102. repec:taf:oaefxx:v:4:y:2016:i:1:p:1220711 is not listed on IDEAS
  103. Kaminska, Iryna & Roberts-Sklar, Matt, 2015. "A global factor in variance risk premia and local bond pricing," Bank of England working papers 576, Bank of England.
  104. Raczko, Marek, 2015. "Volatility contagion: new evidence from market pricing of volatility risk," Bank of England working papers 552, Bank of England.
  105. Barras, Laurent & Malkhozov, Aytek, 2016. "Does variance risk have two prices? Evidence from the equity and option markets," Journal of Financial Economics, Elsevier, vol. 121(1), pages 79-92.
  106. Laurent Barras & Aytek Malkhozov, 2015. "Does variance risk have two prices? Evidence from the equity and option markets," BIS Working Papers 521, Bank for International Settlements.
  107. repec:eee:eneeco:v:75:y:2018:i:c:p:400-409 is not listed on IDEAS
  108. repec:fau:fauart:v:67:y:2017:i:3:p:250-275 is not listed on IDEAS
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