Variance Risk Premiums

By Peter P. Carr, Liuren Wu. 2009

1,179 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ee61789ce93bff6274e17f46dbbd797b76a436e6

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Citations in the corpus

Tail risk premia and return predictability (2014, methodology): “This mirrors the definition of the variance risk premium most commonly used in the options pricing literature (see, e.g., Carr and Wu, 2009), where the difference is also sometimes referred to as a volatility spread (see, e.g., Bakshi and Madan, 2006).11 Let CV ½t;tþ τ ¼ Z tþτ t σ2s ds; denote the…”
Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency (2017, neutral): “We provide a simple high-frequency Durbin-WuHausman test that allows one to evaluate the validity of Assumption 2, see Durbin (1954), Wu (1973), and Hausman (1978).”
Bond Variance Risk Premia (2012, positive): “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.”
Carbon Tail Risk (2020, positive): “It is computed for each day t as the difference between the risk-neutral expected variance for the period from t to t+30 calendar days and the realized variance measured from daily log returns for the same period [t,t+30] (Carr and Wu 2009; Bollerslev, Tauchen, and Zhou 2009). As a proxy for the ris”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, background): “It was shown in [9] that Lévy jumps in the underlying make the 30 day variance swap rate equal to VIX(2)t plus a jump premium.”
Stochastic Volatility of Volatility and Variance Risk Premia (2013, positive): “It turns out thae risk associated with the uncertainty in the variance is measured by the VRP and recent empirical work indicates that the VRP exhibits stochastic dynamics itself, see for instance Carr & Wu (2009), Bollerslev et al. (2009), Todorov (2010) and Drechsler & Yaron (2011).”
What Is the Expected Return on a Stock? (2019, positive): “We take the resulting volatility surfaces as our measures of European implied volatility, following Carr and Wu (2009), among others.”
A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions (2014, neutral): “Neuberger (2012) applies a cubic spline to interpolate volatility data; Neuberger (2012) and Carr and Wu (2009) extrapolate the implied volatilities of the boundary points, but without incorporating the clamping into the spline fitting procedure.”
Uncertainty, Time-Varying Fear, and Asset Prices (2013, background): “Jiang and Tian (2005) and Carr and Wu (2009) extend this result to the case in which the asset follows a jump-diffusion.”
Too-Systemic-To-Fail: What Option Markets Imply About Sector-Wide Government Guarantees (2016, positive): “Coval, Jurek, and Stafford (2009) and Collin-Dufresne, Goldstein, and Yang (2010) compare the prices of CDX tranches to those of index options prior to and during the financial crisis, while Driessen, Maenhout, and Vilkov (2009), Carr and Wu (2009) and Schurhoff and Ziegler (2011) study prices of in”
The VIX, the Variance Premium and Stock Market Volatility (2013, positive): “Chen and Ghysels, 2012) and we therefore examine the state-of-the-art models in that class. These models stress the importance of persistence (using lagged realized variances as predictors), additional information content in the most recent return variances (Corsi, 2009), asymmetry between positive ”
Tails, Fears and Risk Premia (2010, methodology): “…1− x− x22 ) µ(ds, dx) ) ; for further discussion of the approximation errors involved in this calculation see the white paper on the CBOE website, as well as Carr and Wu (2009) and Jiang and Tian (2005, 2007). to the discussion above, the quadratic variation under Q is naturally decomposed into…”