The Risk Premia Embedded in Index Options

By Torben G. Andersen, Nicola Fusari, V. Todorov. 2015

274 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/745b3f78a5c80efad45406352a5aefe5bb0b505c

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Citations in the corpus

Exploiting the errors: A simple approach for improved volatility forecasting (2016, methodology): “Further along these lines, we also consider the jump-robustMedRQ estimator developed by Andersen et al. (2012, 2014), MedRQ ≡ 3π 9π + 72 − 52 √ 3 M2 M − 2 × M−2 i=1 median |rt,i|, |rt,i+1|, |rt,i+2| 4 , (24) aswell as the TruncatedRQestimator based on the ideas ofMancini (2009), formally defined…”
Low‐Risk Anomalies? (2020, unknown): “By now, a large literature discusses options-implied measures of ex-ante moments as well as corresponding realizations and associated risk premia (for instance, Bakshi et al., 2003; Carr and Wu, 2009; Todorov, 2010; Neuberger, 2013; Kozhan et al., 2013; Martin, 2013; Schneider and Trojani, 2014; And”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “An exception is Andersen et al. (2015a), who document downward volatility jumps using the constructed intraday corridor implied volatilities.”
Short-Term Market Risks Implied by Weekly Options (2017, methodology): “In particular, there are several instances where the former estimates for the tail jump variation spike sharply relative to (23)Early work experimenting with time-varying parameter models for standard longer-dated options include Bates (1991) and Bakshi et al. (1997). (24)This specification performs”
Tail risk premia and return predictability (2014, background): “14 Andersen, Fusari, and Todorov (2015) have recently estimated the separate components based on a standard two-factor stochastic volatility model augmented with a third latent time-varying jump intensity factor.”
Quadratic Variance Swap Models (2016, unknown): “Recently, Andersen, Fusari, and Todorov (2015) introduce a three-factor stochastic volatility model with a flexible price jump specification, which is shown to outperform the price jump specification in (25).”