Add to ORKGWe show that any factor structure for stock returns can be naturally translated into a factor structure for return volatility. We use this structure to propose a methodology for estimating forward-looking variances and covariances of both factors and individual assets from option prices at a high frequency. We implement the model empirically and show that our forward-looking volatility estimates provide useful predictions of rare disasters for both factors and individual stocks.Fang5_A_factor.pdf: 807 downloads, before Aug. 1, 2020
I review the disaster explanation of the equity premium puzzle, discussed in Barro (2006) and Rietz ...
To capture volatility risk, we use factors from VIX, VIX futures, and their basis. We find that port...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...
We show that any factor structure for stock returns can be naturally translated into a factor struct...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
The three main purposes of forecasting volatility are for risk management, for asset alloca-tion, an...
I find that stocks with high sensitivities to changes in the V IX slope exhibit high returns on aver...
textabstractWe model the impact of financial conditions on asset market volatility and correlation. ...
This dissertation consists of two essays on disaster risk and equity return predictability. The firs...
textabstractWe propose a modeling framework which allows for creating probability predictions on a f...
The covariation of option-implied disaster concern of the market index and individual stocks allows ...
This dissertation provides three self-contained empirical studies for investigating the role of vola...
Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exerc...
I review the disaster explanation of the equity premium puzzle, discussed in Barro (2006) and Rietz ...
To capture volatility risk, we use factors from VIX, VIX futures, and their basis. We find that port...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...
We show that any factor structure for stock returns can be naturally translated into a factor struct...
This paper incorporates a time-varying severity of disasters in the hypothesis proposed by Rietz (19...
After lying dormant for more than two decades, the rare disaster framework has emerged as a leading ...
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading...
The three main purposes of forecasting volatility are for risk management, for asset alloca-tion, an...
I find that stocks with high sensitivities to changes in the V IX slope exhibit high returns on aver...
textabstractWe model the impact of financial conditions on asset market volatility and correlation. ...
This dissertation consists of two essays on disaster risk and equity return predictability. The firs...
textabstractWe propose a modeling framework which allows for creating probability predictions on a f...
The covariation of option-implied disaster concern of the market index and individual stocks allows ...
This dissertation provides three self-contained empirical studies for investigating the role of vola...
Contrary to the Black-Scholes model, volatilities implied by index option prices depend on the exerc...
I review the disaster explanation of the equity premium puzzle, discussed in Barro (2006) and Rietz ...
To capture volatility risk, we use factors from VIX, VIX futures, and their basis. We find that port...
markdownabstract__Abstract__ Modelling covariance structures is known to suffer from the curse of...