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DP16389 The Correlation Risk Premium: International Evidence 智库出版物
2021
作者:  Gonçalo Faria;  Robert Kosowski;  Tianyu Wang
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Correlation risk premium  Implied correlation  Realized correlation  Variance risk premium  International equity options  
DP13873 Correlation Risk, Strings and Asset Prices 智库出版物
2019
作者:  Antonio Mele;  Walter Distaso;  Grigory Vilkov
收藏  |  浏览/下载:9/0  |  提交时间:2022/09/22
Correlation premium  Correlation-risk premium  Cross-section of returns  Arbitrage pricing  String models  Implied correlation  
DP12760 Expected Correlation and Future Market Returns 智库出版物
2018
作者:  Adrian Buss;  Grigory Vilkov
收藏  |  浏览/下载:7/0  |  提交时间:2022/09/22
Expected (implied) correlation  Correlation risk premium  Return predictability  Idiosyncratic risk  Option-implied information  Contemporaneous betas