On the Role of Risk Premia in Volatility Forecasting

By Mikhail Chernov. 2007

123 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e297c1c088a070f00b40ba890d587d7266391c26

How researchers see this paper

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

In Economics and Econometrics

In Finance

Citations in the corpus

Understanding Index Option Returns (2009, unknown): “One way to obtain the risk-neutral parameter values is to estimate these parameters from option data, as in Broadie, Chernov, and Johannes (2007). However, this approach is not useful for understanding whether options are mispriced.”
Risk and return: Long-run relations, fractional cointegration, and return predictability $ (2013, background): “…t , or in logarithmic form vd t ¼ vix 2 t Àrv t : ð8Þ The fact that vd t exhibits less persistence than the two individual variance series has previously been documented with daily and lower frequency data by Christensen and Nielsen (2006), Bandi and Perron (2006), and Chernov (2007), among others.”
Volatility Spreads and Expected Stock Returns (2009, unknown): “A large number of studies (e.g., Jackwerth and Rubinstein 1996; Bakshi and Kapadia 2003a, b; Bollerslev and Zhou 2006; Chernov 2007; Banerjee et al. 2007) find the market volatility risk premium to be negative.”
A Test Against Spurious Long Memory (2011, methodology): “Such a specication is relevant for applications to implied volatility (Christensen and Prabhala, 1998) and realized volatility (Chernov, 2007).”
Evaluating Volatility and Correlation Forecasts (2009, background): “Two such examples are: |rt | = α + β √ h t + e t , and (11) log ( r 2 t ) = α + β log (h t ) + e t (12) (2)Chernov [15] provides a detailed analysis of the implications of measurement error in the regressors, such as the zt−1 variables in (9).”
Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, background): “being the volatility risk premium, as explained in Chernov (2007) .”
Forecasting with Option-Implied Information (2012, unknown): “Christoffersen et al. (2011) estimate pricing kernels using the entire return sample by standardizing returns by a dynamic volatility measure.”
The VIX, the Variance Premium and Stock Market Volatility (2013, unknown): “Chernov (2007) argues that spot volatility is likely to have additional information about future volatility.”
Stock Options as Lotteries (2014, unknown): “Recent studies that apply similar techniques to individual equity options include Duarte and Jones (2007), who estimate Fama-Mcbeth regressions on a cross section of stock option portfolios, and Broadie, Chernov and Johannes (2009), who estimate alphas for index options.”