| dc.contributor.author | Bardgett, C | en_US |
| dc.contributor.author | GOURIER, EM | en_US |
| dc.contributor.author | Leippold, M | en_US |
| dc.date.accessioned | 2018-10-01T13:10:03Z | |
| dc.date.available | 2018-03-13 | en_US |
| dc.date.issued | 2018-09-17 | en_US |
| dc.date.submitted | 2018-06-13T16:40:58.412Z | |
| dc.identifier.uri | http://qmro.qmul.ac.uk/xmlui/handle/123456789/45763 | |
| dc.description.abstract | We 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 forecasts | en_US |
| dc.language | English | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.relation.ispartof | Journal of Financial Economics | en_US |
| dc.subject | S&P 500 and VIX joint modeling | en_US |
| dc.subject | Volatility dynamics | en_US |
| dc.subject | Particle filter | en_US |
| dc.subject | Variance risk premium | en_US |
| dc.title | Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets | en_US |
| dc.type | Article | |
| dc.rights.holder | © 2018 Elsevier B.V. All rights reserved. | |
| dc.identifier.doi | 10.1016/j.jfineco.2018.09.008 | en_US |
| pubs.notes | Not known | en_US |
| pubs.publication-status | Published | en_US |
| pubs.publisher-url | https://www.sciencedirect.com/science/article/pii/S0304405X18302605 | en_US |
| dcterms.dateAccepted | 2018-03-13 | en_US |
