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dc.contributor.authorBardgett, Cen_US
dc.contributor.authorGOURIER, EMen_US
dc.contributor.authorLeippold, Men_US
dc.date.accessioned2018-10-01T13:10:03Z
dc.date.available2018-03-13en_US
dc.date.issued2018-09-17en_US
dc.date.submitted2018-06-13T16:40:58.412Z
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/45763
dc.description.abstractWe estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find that they contain valuable information on the risk-neutral conditional distributions of volatility at different time horizons, which is not spanned by the S&P 500 market. This information allows enhanced estimation of the variance risk premium. We gain new insights on the term structure of the variance risk premium, present a trading strategy exploiting these insights, and show how to improve S&P 500 return forecastsen_US
dc.languageEnglishen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofJournal of Financial Economicsen_US
dc.subjectS&P 500 and VIX joint modelingen_US
dc.subjectVolatility dynamicsen_US
dc.subjectParticle filteren_US
dc.subjectVariance risk premiumen_US
dc.titleInferring volatility dynamics and risk premia from the S&P 500 and VIX marketsen_US
dc.typeArticle
dc.rights.holder© 2018 Elsevier B.V. All rights reserved.
dc.identifier.doi10.1016/j.jfineco.2018.09.008en_US
pubs.notesNot knownen_US
pubs.publication-statusPublisheden_US
pubs.publisher-urlhttps://www.sciencedirect.com/science/article/pii/S0304405X18302605en_US
dcterms.dateAccepted2018-03-13en_US


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