The Price of Variance Risk

By Ian Dew-Becker, Stefano Giglio, Anh Le, M. Rodriguez. 2015

191 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/277e40db5cfef627d532c91afe5edd88845e2a24

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Ralph S. J. Koijen
2. Jules H. van Binsbergen
3. Michael Weber

Citations in the corpus

• Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “As a result, the literature resorts to Poisson processes for modeling jumps, with notable distinctions by Maheu and McCurdy (2004), Piazzesi (2005), Dubinsky and Johannes (2006) and Beber and Brandt (2009).”
• The Term Structure of Returns: Facts and Theory (2015, background): “The Sharpe ratios are strongly downward sloping in maturity, consistent with Duffee (2012). The short-term Sharpe ratios are as high as 0.”
• Higher-order effects in asset-pricing models with long-run risks (2018, unknown): “…literature has suggested a possible solution to this puzzle by adding time-varying volatility of volatility (vol–of–vol) to the model (see, for example, Bollerslev, Tauchen, and Zhou (2009), Tauchen (2011), Drechsler and Yaron (2011), Bollerslev, Xu, and Zhou (2015), and Dew-Becker et al. (2017)).”