What’s Vol Got to Do with It?

By Bruce D. Phelps. 2011

405 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2546775cb230d7b818257ea1c180091dcbe4e450

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Citations in the corpus

What is the expected return on the market (2016, unknown): “…significant at predictive horizons out to 3 months.20 This predictive success reflects the fact that 20My approach follows that of Bollerslev, Tauchen and Zhou (2009) rather than that of Drechsler and Yaron (2011), who use predictive regressions to forecast the evolution of variance itself.”
Carry Trades and Global Foreign Exchange Volatility (2012, background): “A useful starting point for our purpose is the thorough survey on the forward premium puzzle by Engel (1996). He covers studies which have assumed rational expectations and attempted to attribute the forward rate bias to a foreign exchange risk premium and concludes that “models of the risk premium ”
News Implied Volatility and Disaster Concerns (2017, background): “Following Schorfheide, Song, and Yaron (2013) we represent annual consumption growth rates as a function of monthly growth rates.”
Quadratic Variance Swap Models (2016, unknown): “…variance risk premium and its impact on asset prices, e.g., Jiang and Tian (2005), Carr and Wu (2009), Bollerslev, Tauchen, and Zhou (2009), Todorov (2010), Bollerslev and Todorov (2011), Drechsler and Yaron (2011), Mueller, Vedolin, and Yen (2011), Martin (2013), and Bekaert and Hoerova (2014).”
Cross-Section of Option Returns and Idiosyncratic Stock Volatility (2013, unknown): “Our estimate of risk-neutral expected variance IV follows Jiang and Tian (2005), Bollerslev, Tauchen, and Zhou (2009), and Drechsler and Yaron (2011).”
Systemic Co-Jumps (2017, unknown): “For example, Bollerslev and Todorov (2011) empirically support the view that risk compensation due to large jumps is large and time-varying, and Drechsler and Yaron (2011) and Drechsler (2013) highlight the importance of transient non-Gaussian shocks to fundamentals in explaining the magnitude of…”
The Price of Variance Risk (2015, unknown): “In the period since 1996, it has been costless on average to hedge news about future volatility in aggregate stock returns; in other words investors have not been required to pay for insurance against volatility news.”
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2009, result): “at both short and long horizons, which is consistent with consumption predictability evidence reported in Hansen et al. (2008) and Bansal et al.”
The Risk Premia Embedded in Index Options (2015, methodology): “and jump risks as well as equity and variance risk premia in the models of Wachter (2013) and Drechsler and Yaron (2011), using the concurrent level of the relevant state variables in each model as predictors.”
A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, unknown): “We choose to present the framework of Bollerslev et al. (2009) and Drechsler and Yaron (2011) for simplicity of illustration. aversion coefficient, ψ is the intertemporal elasticity of substitution, ∆ct+1 is the growth rate of log consumption, and rc,t+1 is the time t to t+1 return on the aggregate…”