Model Specification and Risk Premia: Evidence from Futures Options

By Mark Broadie, Mikhail Chernov, Michael Johannes. 2007

616 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a3fab02bafa5fe1cb463e27a70c642702b597266

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Citations in the corpus

Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, neutral): “…of literature investigates the volatility dynamics through the lens of S&P 500 options, see, e.g., Bakshi et al. (1997), Bates (2000), Pan (2002), Eraker (2004), and Broadie et al. (2007) for examples of affine jump diffusion models with stochastic volatility driven by one square-root factor.”
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, neutral): “Carr and Wu (2009) and Schurhoff and Ziegler (2011) also study the price of index versus individual options.”
The Time Variation in Risk Appetite and Uncertainty (2019, neutral): “πt+1 = π0 + ρπππt + ρ ′ π,macY mac t + σπpωp,t+1 + σπnωn,t+1 + u π t+1 (32) ut+1 = σππωπ,t+1 (33)”
Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility (2007, background): “I2(θ;σ) = μ − 5 12 ρ(2)b(2) σ + 1 6 b(2) σ + 1 6 ρ2bb0 ¶ θ(2) (11)”
Optimal portfolios when volatility can jump (2008, background): “The importance of jumps in volatility has become apparent in recent studies, which try to explain the time series properties of stock and option prices simultaneously, like Eraker, Johannes, and Polson (2003), or Broadie, Chernov, and Johannes (2005).”
Quadratic Variance Swap Models (2016, positive): “To account for the widely documented correlation between index returns and diffusive variance changes, e.g., Broadie, Chernov, and Johannes (2007) and Aït-Sahalia and Kimmel (2007), the correlation vector function is chosen to be Please cite this article as: Filipović, D., et al., Quadratic…”
Short-Term Market Risks Implied by Weekly Options (2017, background): “We employ the parameter estimates from Broadie et al. (2007).”
Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options (2012, neutral): “…using returns and/or options, see, for example, Bates (2000, 2006), Andersen, Benzoni, and Lund (2002), Pan (2002), Huang and Wu (2004), Eraker, Johannes, and Polson (2003), Broadie, Chernov, and Johannes (2007), Li, Wells, and Yu (2007, 2011), and Chernov, Gallant, Ghysels, and Tauchen (2003).”
Understanding Index Option Returns (2009, neutral): “…accounts for non-normality in option returns, as model based option returns models embed leverage and have kinked payoffs; (3) It allows researchers to easily assess finite sample issues by constructing finite sample distributions via simulations; (4) It provides a formal framework for…”
Explaining Asset Pricing Puzzles Associated with the 1987 Market Crash (2011, neutral): “Pan (2002), Broadie et al. (2007), Chernov and Ghysels (2000), Jones (2003), Eraker (2004), and Benzoni (2002) use data on both underlying and derivatives prices to fit the model.”
Uncertainty, Time-Varying Fear, and Asset Prices (2013, methodology): “In particular, a number of studies (e.g., Pan (2002), Eraker (2004), and Broadie, Chernov, and Johannes (2007)) find 5 Du (2010) shows that the habit models of Campbell and Cochrane (1999) and Menzly, Santos, and Veronesi (2004) are inconsistent with the implied volatility skew of index options,…”