| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10236 |
| DP10236 Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got To Do With It? | |
| Eric Ghysels; Elena Andreou | |
| 发表日期 | 2014-11-09 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in particular large panels of univariate financial asset ARCH-type models and (2) we price equity volatility risk using factors which go beyond the equity class. These are volatility factors extracted from panels of volatilities of short-term funding and long-run corporate spreads as well as volatilities of energy and metals commodities returns and sport/future spreads. |
| 主题 | Financial Economics |
| 关键词 | Factor asset pricing models Arch filters |
| URL | https://cepr.org/publications/dp10236 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539069 |
| 推荐引用方式 GB/T 7714 | Eric Ghysels,Elena Andreou. DP10236 Predicting the VIX and the Volatility Risk Premium: What's Credit and Commodity Volatility Risk Got To Do With It?. 2014. |
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