The Volatility Index and Volatility Risk Premium in China
暂无分享,去创建一个
[1] Jin E. Zhang,et al. The implied volatility smirk in the Chinese equity options market , 2021 .
[2] D. Tortorice,et al. Same firm, two volatilities: How variance risk is priced in credit and equity markets , 2021 .
[3] Ye-ran Tang,et al. Can the Chinese volatility index reflect investor sentiment? , 2020, International Review of Financial Analysis.
[4] Eric K. M. Tan,et al. The Chinese equity index options market , 2020 .
[5] Xingguo Luo,et al. Volatility index and the return–volatility relation: Intraday evidence from Chinese options market , 2019, Journal of Futures Markets.
[6] Prabina Rajib,et al. The role of the volatility index in asset pricing: The case of the Indian stock market , 2019, The Quarterly Review of Economics and Finance.
[7] Jin E. Zhang,et al. How do US options traders “smirk” on China? Evidence from FXI options , 2019, Journal of Futures Markets.
[8] C. Siriopoulos,et al. Implied Volatility Indices – A Review , 2019, The Quarterly Review of Economics and Finance.
[9] Stephanos Papadamou,et al. Variance risk premium and equity returns , 2018, Research in International Business and Finance.
[10] A. Sensoy,et al. Implied volatility indices: A review and extension in the Turkish case , 2018, International Review of Financial Analysis.
[11] Jie Liu,et al. Volatility Premium and Term Structure of China Blue-Chip Index Options , 2018, Emerging Markets Finance and Trade.
[12] Xiaoping Zhou,et al. The Dynamics of Financial Market Integration Between Chinese A- and H-Shares , 2018, Emerging Markets Finance and Trade.
[13] R. Ding,et al. Media Censorship and Stock Price: Evidence from the Foreign Share Discount in China , 2018, Journal of International Financial Markets, Institutions and Money.
[14] Xingguo Luo,et al. Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index , 2017 .
[15] Philippe Mueller,et al. Bond Variance Risk Premiums , 2016 .
[16] Kent Wang,et al. A State‐Price Volatility Index for China's Stock Market , 2016 .
[17] P. Molnár,et al. Implied Volatility Index for the Norwegian Equity Market , 2016 .
[18] Junye Li,et al. The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability , 2016 .
[19] R. C. Merton,et al. Theory of Rational Option Pricing , 2015, World Scientific Reference on Contingent Claims Analysis in Corporate Finance.
[20] M. Richardson,et al. The Volatility of a Firm's Assets and the Leverage Effect , 2015 .
[21] I. Drechsler. Uncertainty, Time-Varying Fear, and Asset Prices: Uncertainty, Time-Varying Fear, and Asset Prices , 2013 .
[22] Raphael N. Markellos,et al. Interest Rate Volatility and Risk Management: Evidence from CBOE Treasury Options , 2013 .
[23] T. Ramadorai,et al. Volatility Risk Premia and Exchange Rate Predictability , 2013 .
[24] Geert Bekaert,et al. The VIX, the Variance Premium and Stock Market Volatility , 2013, SSRN Electronic Journal.
[25] Ihsan Badshah. Quantile Regression Analysis of Asymmetric Return-Volatility Relation , 2010 .
[26] Söhnke M. Bartram,et al. How Important is Financial Risk? , 2013 .
[27] Hao Zhou,et al. Variance Risk Premiums and the Forward Premium Puzzle , 2012 .
[28] Ke Tang,et al. Are Chinese warrants derivatives? Evidence from connections to their underlying stocks , 2012 .
[29] Youngsoo Choi,et al. Dividend‐Rollover Effect and the Ad Hoc Black‐Scholes Model , 2012 .
[30] Doojin Ryu,et al. Implied Volatility Index of KOSPI200: Information Contents and Properties , 2012 .
[31] M. Howard,et al. The Chinese Warrants Bubble , 2012 .
[32] Hao Zhou,et al. Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence , 2011, Journal of Financial and Quantitative Analysis.
[33] Dirk G. Baur,et al. The Structure and Degree of Dependence - A Quantile Regression Approach , 2011 .
[34] Juan M. Londoño. The Variance Risk Premium Around the World , 2010 .
[35] Hao Wang,et al. Credit Default Swap Spreads and Variance Risk Premia , 2010 .
[36] Yuhang Xing,et al. What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns? , 2010, Journal of Financial and Quantitative Analysis.
[37] Victor DeMiguel,et al. Improving Portfolio Selection Using Option-Implied Volatility and Skewness , 2010 .
[38] E. C. Chang,et al. Is Warrant Really a Derivative? Evidence from the Chinese Warrant Market , 2009 .
[39] A. Yaron,et al. What's Vol Got to Do With It , 2009 .
[40] Peter F. Christoffersen,et al. Market Skewness Risk and the Cross-Section of Stock Returns , 2009 .
[41] R. Whaley. Understanding the VIX , 2009, The Journal of Portfolio Management.
[42] Peter Carr,et al. Variance Risk Premiums , 2009 .
[43] R. Daigler,et al. A behavioral explanation for the negative asymmetric return–volatility relation , 2008 .
[44] Jin E. Zhang,et al. The implied volatility smirk , 2008 .
[45] Turan G. Bali,et al. Volatility Spreads and Expected Stock Returns , 2007, Manag. Sci..
[46] T. Bollerslev,et al. Expected Stock Returns and Variance Risk Premia , 2007 .
[47] Michael S. Gibson,et al. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities , 2007 .
[48] Yisong S. Tian,et al. Extracting Model-Free Volatility from Option Prices , 2007 .
[49] Gurdip Bakshi,et al. A Theory of Volatility Spreads , 2006, Manag. Sci..
[50] Liuren Wu,et al. Crash–O–Phobia , 2005 .
[51] Bjørn Eraker. Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices , 2004 .
[52] Nikunj Kapadia,et al. Volatility Risk Premiums Embedded in Individual Equity Options , 2003 .
[53] G. Schwert. Tests for Unit Roots , 2002 .
[54] Guojun Wu,et al. The Determinants of Asymmetric Volatility , 2001 .
[55] Gurdip Bakshi,et al. Delta-Hedged Gains and the Negative Market Volatility Risk Premium , 2001 .
[56] Cheekiat Low,et al. The Fear and Exuberance from Implied Volatility of S&P 100 Index Options , 2000 .
[57] Robert E. Whaley,et al. The Investor Fear Gauge , 2000 .
[58] Mark Britten-Jones,et al. Option Prices, Implied Price Processes, and Stochastic Volatility , 2000 .
[59] Lifan Wu,et al. Information Asymmetry, Market Segmentation, and the Pricing of Cross-Listed Shares: Theory and Evidence from Chinese a and B Shares , 1998 .
[60] Guojun Wu,et al. Asymmetric Volatility and Risk in Equity Markets , 1997 .
[61] Jeff Fleming,et al. Predicting stock market volatility: A new measure , 1995 .
[62] R. Whaley. Derivatives on Market Volatility , 1993 .
[63] R. Hodrick. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .
[64] John Y. Campbell,et al. No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns , 1991 .
[65] G. Schwert. Why Does Stock Market Volatility Change Over Time? , 1988 .
[66] W. Newey,et al. Hypothesis Testing with Efficient Method of Moments Estimation , 1987 .
[67] K. French,et al. Expected stock returns and volatility , 1987 .
[68] J. Poterba,et al. Mean Reversion in Stock Prices: Evidence and Implications , 1987 .
[69] A. Christie,et al. The stochastic behavior of common stock variances: value , 1982 .
[70] S. Ross,et al. Option pricing: A simplified approach☆ , 1979 .
[71] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[72] C. Siriopoulos,et al. An investor sentiment barometer — Greek Implied Volatility Index (GRIV) , 2012 .
[73] R. Koenker,et al. Regression Quantiles , 2007 .
[74] David S. Bates. Post-'87 crash fears in the S&P 500 futures option market , 2000 .
[75] K. Demeterfi,et al. More than You ever Wanted to Know about Volatility Swaps , 1999 .
[76] Douglas T. Breeden,et al. Prices of State-Contingent Claims Implicit in Option Prices , 1978 .