Variance Risk-Premium Dynamics: The Role of Jumps

By V. Todorov. 2010

326 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/9c8612cc1053b8d007346032207d47fc886fb542

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Citations in the corpus

Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis (2020, background): “10A common definition adopted in the financial literature on the variance premium see, e.g., Todorov (2009).”
Volatility Risk Premia and Exchange Rate Predictability (2016, unknown): “4See, for example, Carr and Wu (2009), Eraker (2008), Bollerslev, Tauchen, and Zhou (2009), Todorov (2010), Drechsler and Yaron (2010), Han and Zhou (2010), Mueller, Vedolin and Yen (2011), Londono and Zhou (2012) and Buraschi, Trojani and Vedolin (2013).”
Bond Variance Risk Premia (2012, unknown): “For literature on the stock market variance risk premium, see, e.g., Driessen, Maenhout, and Vilkov (2009), Bollerslev, Gibson, and Zhou (2011), Carr and Wu (2009), Cremers, Halling, and Weinbaum (2010) and Todorov (2010), among others.”
Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, background): “We can refer to Ait-Sahalia and Jacod (2009), Cont and Mancini (2007) or Todorov (2010) who have demonstrated that the variance risk is manifest in two salient features of financial returns: stochastic volatility and jumps.”
Quadratic Variance Swap Models (2016, unknown): “…the 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…”
Large-dimensional factor modeling based on high-frequency observations (2019, unknown): “…and Jacod (2009a), Lee and Mykland (2008) and Mancini (2009) introduce a threshold estimator for separating the continuous from the jump variation, which I use in this paper.7 Bollerslev and Todorov (2010) develop the theoretical framework for high-frequency factor models for a low dimension.”
Systemic Co-Jumps (2017, unknown): “Moreover, Todorov (2010) shows a strong link between index jump measures and variance risk premium changes through the estimation of a parametric model.”
Asymmetric learning from financial information (2013, unknown): “This is consistent with an increase in risk aversion after negative shocks (Todorov (2010), Bollerslev and Todorov (2011), Guiso et al. (2011)), but in addition can also be driven by traders being overly pessimistic during bad times, as suggested by the experimental results shown here.”
Downside Variance Risk Premium (2015, unknown): “Within the reduced-form framework, Todorov (2010) focuses on the temporal dependence of continuous versus discontinuous V RP components driven by a semiparametric stochastic volatility model.”
Tails, Fears and Risk Premia (2010, methodology): “They also support a twofactor stochastic volatility model, as in, e.g., Todorov (2009) , in which one of the factors is highly persistent, in efiect capturing intertemporal shifts in the investment opportunity set, while the other factor is short lived and mainly triggered by (negative) jumps.”
Stochastic Volatility of Volatility and Variance Risk Premia (2013, unknown): “Recall that the variance risk–premium is defined as the wedgebetween the conditional expectation of the quadratic variation over a future period in time underth physical and under the risk–neutral probability measure, see e.g. Todorov (2010) for more details.”
Estimation of Jump Tails (2011, methodology): “However, we follow the recent literature on jump estimation, e.g., Jacod and Todorov (2010), and adaptively set α as a multiple of an estimate of the current “daily” volatility; see also Shimizu (2010) for results on data-driven threshold selection in the estimation of Lévy jump measures from…”